On the strong maximum principle for second order nonlinear parabolic integro-differential equations

MaRDI QIDQ1928638zbMATH OpenFDO

Publication date 3 January 2013

Published in Advances in Differential Equations (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1006.2607, https://projecteuclid.org/euclid.ade/1355702971

maximum principle nonlinear parabolic integro-differential equation viscosity solution

Maximum principles in context of PDEs (35B50) Comparison principles in context of PDEs (35B51) Viscosity solutions to PDEs (35D40) Nonlinear parabolic equations (35K55) Integro-partial differential equations (35R09)

Abstract: This paper is concerned with the study of the Strong Maximum Principle for semicontinuous viscosity solutions of fully nonlinear, second-order parabolic integro-differential equations. We study separately the propagation of maxima in the horizontal component of the domain and the local vertical propagation in simply connected sets of the domain. We give two types of results for horizontal propagation of maxima: one is the natural extension of the classical results of local propagation of maxima and the other comes from the structure of the nonlocal operator. As an application, we use the Strong Maximum Principle to prove a Strong Comparison Result of viscosity sub and supersolution for integro-differential equations.

Review text

In this paper the author investigates the strong maximum principle for viscosity solutions of second-order nonlinear parabolic integro-differential equations of the form \[ u_{t}+F\left( x,t,Du,D^{2}u,\mathcal{I}\left[ x,t,u\right] \right) =0\text{ in }\Omega \times \left( 0,T\right) \] where \(\Omega \subset \mathbb{R}^{N}\) is an open bounded set, \(T>0,\) and \(u\) is a real-valued function defined on \(\mathbb{R}^{N}\times \left[ 0,T\right] \) and is assumed that the function \(u=u\left( x,t\right) \) is a priori defined outside the domain \(\Omega\). The nonlinearity \(F\) is a real-valued, continuous function in \(\Omega \times \left[ 0,T\right] \times \mathbb{R}^{N}\times \mathbb{S}^{N}\times \mathbb{R} ,\mathbb{S}^{N}\) being the set of real symmetric \(N\times N\) matrices. \(F\) is considered to be degenerate elliptic, i.e. \[ F\left( x,t,p,X,l_{1}\right) \leq F\left( x,t,p,Y,l_{2}\right) ,X\geq Y,l_{1}\geq l_{2}, \] for all \(\left( x,t\right) \in \overline{\Omega }\times \left[ 0,T\right] ,p\in \mathbb{R}^{N}\backslash \left\{ 0\right\} ,X,Y\in \mathbb{S} ^{N},l_{1},l_{2}\in \mathbb{R.}\) \(\mathcal{I}\left[ x,t,u\right] \) is an integro-differential operator of the type \[ \mathcal{I}\left[ x,t,u\right] =\int_{\mathbb{R}^{N}}\left( u\left( x+z,t\right) -u\left( x,t\right) -Du\left( x,t\right) \cdot z1_{B}\left( z\right) \right) \mu _{x}\left( dz\right) , \] where \(1_{B}\left( z\right) \) denotes the indicator function of the unit ball \(B\) and \(\left\{ \mu _{x}\right\} _{x\in \mathbb{\Omega }}\) is a family of Levy measures. In particular, \[ \mathcal{I}\left[ x,t,u\right] =\int_{\mathbb{R}^{N}}\left( u\left( x+j\left( x,z\right) ,t\right) -u\left( x,t\right) -Du\left( x,t\right) \cdot j\left( x,z\right) 1_{B}\left( z\right) \right) \mu \left( dz\right) , \] is a Levy-Ito operator, where \(j\left( x,z\right) \) is the size of the jumps at \(x\) satisfying \[ j\left( x,z\right) \leq C_{0}\left| z\right| ,\forall x\in \Omega ,\forall z\in \mathbb{R}^{N}, \] with \(C_{0}\) a positive constant. If \(Q_{T}=\Omega \times \left( 0,T\right] \), then for every point \( P_{0}=\left( x_{0},t_{0}\right) \in Q_{T},S\left( P_{0}\right) \) is the set of all points \(Q\in Q_{T}\) which can be connected to \(P_{0}\) by a simple continuous curve in \(Q_{T}\) and \(C\left( P_{0}\right) \) denotes the connected component of \(\Omega \times \left\{ t_{0}\right\} \) which contains \(P_{0}\). In Section 2 of the paper are studied, separately, the propagation of maxima in \(C\left( P_{0}\right) \) and in the region \(\Omega \times \left( 0,t_{0}\right)\). In Section 3 similar results are given in the case of Levy-Ito operators. Examples are provided in Section 4. In Section 5 the author proves a strong comparison result for the Dirichlet problem, based on the strong maximum principle for the linearized equation.

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