Existence-Uniqueness for Nonlinear Integro-differential Equations with Drift in R^d

DOI10.1137/22M1505931MaRDI QIDQ6073312zbMATH OpenOpenAlexFDO

Authors Anup Biswas

Publication date 17 October 2023

Published in SIAM Journal on Mathematical Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2206.13797

zbMATH Keywords

controlled jump diffusionsergodic control problemLiouville theoremmixed local-nonlocal operatorsregularity

Mathematics Subject Classification ID

Existence problems for PDEs: global existence, local existence, non-existence (35A01) Uniqueness problems for PDEs: global uniqueness, local uniqueness, non-uniqueness (35A02) Liouville theorems and Phragmén-Lindelöf theorems in context of PDEs (35B53) Hamilton-Jacobi equations (35F21) PDEs in connection with control and optimization (35Q93) Integro-partial differential equations (35R09) Optimal stochastic control (93E20)

Abstract: In this article we consider a class of nonlinear integro-differential equations of the form ${\displaystyle }$inf_{ au inmathcal{T}} �igg{int_{mathbb{R}^d} (u(x+y)+u(x-y)-2u(x))frac{k_{ au}(x,y)}{|y|^{d+2s}} ,dy+ b_{ au}(x) cdot abla u(x)+g_{ au}(x) �igg}-lambda^*=0quad ext{in} hspace{2mm} mathbb{R}^d,${\displaystyle }$ where $0<lambda(2-2s)leq{k}_{au}leqLambda(2-2s)$ , $sin(frac12,1)$. The above equation appears in the study of ergodic control problems in $mathbb{R}^d$ when the controlled dynamics is governed by pure-jump L'evy processes characterized by the kernels $k_{au},|y{|}^{-d-2s}$ and the drift $b_{a}u$. Under a Foster-Lyapunov condition, we establish the existence of a unique solution pair $(u,lambd{a}^{\ast })$ satisfying the above equation, provided we set $u(0)=0$. Results are then extended to cover the HJB equations of mixed local-nonlocal type and this significantly improves the results in [Arapostathis-Caffarelli-Pang-Zheng (2019)].

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Cited in

(5)

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• Nonlocal ergodic control problem in \(\mathbb{R}^d\)
• Fine boundary regularity for fully nonlinear mixed local-nonlocal problems
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• Asymptotic behavior of the generalized principal eigenvalue for Hamilton-Jacobi-Bellman equations with asymptotically radial data

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