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

DOI10.1137/22M1505931MaRDI QIDQ6073312zbMATHOpenAlexFDO

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

regularityLiouville theoremcontrolled jump diffusionsergodic control problemmixed local-nonlocal operators

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)].

Recommendations

• Nonlocal ergodic control problem in \(\mathbb{R}^d\)
• Solvability of the Nonlinear Dirichlet Problem with Integro-differential Operators
• Existence and uniqueness for integro-differential equations with dominating drift terms
• Viscosity solutions of nonlinear integro-differential equations
• Solvability of some integro-differential equations with drift

Cites work

• scientific article; zbMATH DE number 42423 (Why is no real title available?)
• scientific article; zbMATH DE number 473351 (Why is no real title available?)
• A ``maximum principle for semicontinuous functions applicable to integro-partial differential equations
• A priori Lipschitz estimates for solutions of local and nonlocal Hamilton-Jacobi equations with Ornstein-Uhlenbeck operator
• Asymptotic Solutions of Viscous Hamilton–Jacobi Equations with Ornstein–Uhlenbeck Operator
• Controlled Markov processes and viscosity solutions
• Dirichlet heat kernel estimates for fractional Laplacian with gradient perturbation
• Ergodic Control of a Class of Jump Diffusions with Finite Lévy Measures and Rough Kernels
• Ergodic control of diffusion processes.
• Existence of \(C^\alpha \) solutions to integro-PDEs
• Hölder continuity of solutions of second-order non-linear elliptic integro-differential equations
• Large time behavior of periodic viscosity solutions for uniformly parabolic integro-differential equations
• Lipschitz regularity of solutions for mixed integro-differential equations
• Lévy Processes and Stochastic Calculus
• On the Dirichlet problem for second-order elliptic integro-differential equations
• On the martingale problem for generators of stable processes with perturbations
• On unbounded solutions of ergodic problems for non-local Hamilton-Jacobi equations
• Periodic homogenization for weakly elliptic Hamilton-Jacobi-Bellman equations with critical fractional diffusion
• Perron's method for nonlocal fully nonlinear equations
• Principal eigenvalues of a class of nonlinear integro-differential operators
• Regularity for fully nonlinear nonlocal parabolic equations with rough kernels
• Regularity for parabolic integro-differential equations with very irregular kernels
• Regularity results for nonlocal equations by approximation
• Regularity theory for fully nonlinear integro-differential equations
• Regularity theory for second order integro-PDEs
• Second-order elliptic integro-differential equations: viscosity solutions' theory revisited
• The Dirichlet problem for stable-like operators and related probabilistic representations
• Uniqueness for fractional parabolic and elliptic equations with drift
• Uniqueness of viscosity solutions for a class of integro-differential equations
• Viscosity solutions for a system of integro-PDEs and connections to optimal switching and control of jump-diffusion processes
• \(C^{\sigma +\alpha}\) regularity for concave nonlocal fully nonlinear elliptic equations with rough kernels

Cited in

(2)

• Nonlocal ergodic control problem in \(\mathbb{R}^d\)
• Existence and uniqueness of weak solution in \(W^{1,2+ \epsilon }\) for elliptic equations with drifts in weak-\(L^n\) spaces

This page was built for publication: Existence-Uniqueness for Nonlinear Integro-differential Equations with Drift in \({\boldsymbol{\mathbb{R}}^{{\textrm{d}}}}\)

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6073312)