On the differentiability of the solutions of non-local Isaacs equations involving 12-Laplacian

DOI10.3934/CPAA.2016.15.907MaRDI QIDQ256277zbMATH OpenOpenAlexFDO

Authors Imran H. Biswas, Indranil Chowdhury

Publication date 9 March 2016

Published in Communications on Pure and Applied Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1412.4756

zbMATH Keywords

Bellman-Isaacs equationsdifferentiabilityfractional Laplacianintegro-partial differential equationviscosity solution

Mathematics Subject Classification ID

Differential games (aspects of game theory) (91A23) Integro-partial differential equations (45K05) Hamilton-Jacobi equations (35F21) Integro-partial differential equations (35R09) Fractional partial differential equations (35R11) Dynamic programming in optimal control and differential games (49L20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Abstract: We derive $C^{1,sigma}$-estimate for the solutions of a class of non-local elliptic Bellman-Isaacs equations. These equations are fully nonlinear and are associated with infinite horizon stochastic differential game problems involving jump-diffusions. The non-locality is represented by the presence of fractional order diffusion term and we deal with the particular case of $frac12$-Laplacian, where the order $frac12$ is known as the critical order in this context. More importantly, these equations are not translation invariant and we prove that the viscosity solutions of such equations are $C^{1,sigma}$, making the equations classically solvable.

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Cited in

(1)

• On the differentiability of the solution to the Hamilton-Jacobi equation with critical fractional diffusion

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