Convexity of solutions and estimates for fully nonlinear elliptic equations

The starting point of this work is a paper by Alvarez, Lasry and Lions (1997) concerning the convexity and the partial convexity of solutions of fully nonlinear degenerate elliptic equations. We extend their results in two directions. First, we deal with possibly sublinear (but epi-pointed) solutions instead of 1-coercive ones; secondly, the partial convexity of C² solutions is extended to the class of continuous viscosity solutions. A third contribution of this paper concerns C^1,1 estimates for convex viscosity solutions of strictly elliptic nonlinear equations. To finish with, all the tools and techniques introduced here permit us to give a new proof of the Alexandroff estimate obtained by Trudinger (1988) and Caffarelli (1989).     

Convergence of Rothe's method for fully nonlinear parabolic equations

Convergence of Rothe's method for the fully nonlinear parabolic equation u_t+F(D²u, Du, u, x, t)=0 is considered under some continuity assumptions on F. We show that the Rothe solutions are Lipschitz in time, Hölder in space, and they solve the equation in the viscosity sense. As an immediate corollary we get Lipschitz behavior in time of the viscosity solutions of our equation.     

Large time behavior of solutions for a class of time-dependent Hamilton-Jacobi equations

We study the long-time behavior of viscosity solutions for time-dependent Hamilton-Jacobi equations by the dynamical approach based on weak KAM(Kolmogorov-Arnold-Moser) theory due to Fathi. We establish a general convergence result for viscosity solutions and adherence of the graph as t →∞.     

Existence of Viscosity Solutions of Second Order Fully Nonlinear Elliptic Equations

We consider the problem of existence for viscosity solutions of seoond order fully nonlinear elliptic partial differential equations F(D²u, Du, u, z) = 0. We prove existence results for viscosity solutions in W^{1,∞} under assumptions that function F satisfies the natural structure conditions. We do not assume F is convex.     

Generalized motion by mean curvature with Neumann conditions and the Allen-Cahn model for phase transitions

We study asharpinterface model for phase transitions which incorporates the interaction of the phase boundaries with the walls of a container Ω. In this model, the interfaces move by their mean curvature and are normal to δΩ. We first establish local-in-time existence and uniqueness of smooth solutions for the mean curvature equation with a normal contact angle condition. We then discuss global solutions by interpreting the equation and the boundary condition in a weak (viscosity) sense. Finally, we investigate the relation of the aforementioned model with atransitionlayer model. We prove that if Ω isconvex, the transition-layer solutions converge to the sharp-interface solutions as the thickness of the layer tends to zero. We conclude with a discussion of the difficulties that arise in establishing this result in nonconvex domains. Communicated by David Kinderlehrer     

Forward dynamic utility functions: A new model and new results

A major obstacle in the existing models of forward dynamic utilities and investment performance evaluation is to establish the existence and uniqueness of the optimal solutions. Consequently, we present a new model of forward dynamic utilities. In doing so, we establish the existence and uniqueness of the solutions for a general (smooth) utility function, and we show that the assumptions needed for such solutions are similar to those under the backward formulation. Moreover, we provide unique viscosity solutions. We also provide discontinuous viscosity solutions. In addition, we introduce Hausdorff-continuous viscosity solutions to the portfolio model.     

Boundary Regularity for Viscosity Solutions of Fully Nonlinear Elliptic Equations

We provide regularity results at the boundary for continuous viscosity solutions to nonconvex fully nonlinear uniformly elliptic equations and inequalities in Euclidian domains. We show that (i) any solution of two sided inequalities with Pucci extremal operators is C ^{1, α} on the boundary; (ii) the solution of the Dirichlet problem for fully nonlinear uniformly elliptic equations is C ^{2, α} on the boundary; (iii) corresponding asymptotic expansions hold. This is an extension to viscosity solutions of the classical Krylov estimates for smooth solutions.     

Viscosity Solutions for the Two-Phase Stefan Problem

We introduce a notion of viscosity solutions for the two-phase Stefan problem, which incorporates possible existence of a mushy region generated by the initial data. We show that a comparison principle holds between viscosity solutions, and investigate the coincidence of the viscosity solutions and the weak solutions defined via integration by parts. In particular, in the absence of initial mushy region, viscosity solution is the unique weak solution with the same boundary data.     

Global Smooth Solutions of the Equations of a Viscous,Heat - Conducting,One - Dimensional Gas with Density - Dependent Viscosity

We consider initial boundary value problems for the equations of the one-dimensional motion of a viscous, heat-conducting gas with density-dependent viscosity that decreases (to zero) with decreasing density. We prove that if the viscosity does not decrease to zero too rapidly, then smooth solutions exist globally in time.     

Probabilistic interpretation for systems of Isaacs equations with two reflecting barriers

In this paper we investigate zero-sum two-player stochastic differential games whose cost functionals are given by doubly controlled reflected backward stochastic differential equations (RBSDEs) with two barriers. For admissible controls which can depend on the whole past and so include, in particular, information occurring before the beginning of the game, the games are interpreted as games of the type “admissible strategy” against “admissible control”, and the associated lower and upper value functions are studied. A priori random, they are shown to be deterministic, and it is proved that they are the unique viscosity solutions of the associated upper and the lower Bellman–Isaacs equations with two barriers, respectively. For the proofs we make full use of the penalization method for RBSDEs with one barrier and RBSDEs with two barriers. For this end we also prove new estimates for RBSDEs with two barriers, which are sharper than those in Hamadène, Hassani (Probab Theory Relat Fields 132:237–264, 2005). Furthermore, we show that the viscosity solution of the Isaacs equation with two reflecting barriers not only can be approximated by the viscosity solutions of penalized Isaacs equations with one barrier, but also directly by the viscosity solutions of penalized Isaacs equations without barrier. Partially supported by the NSF of P.R.China (No. 10701050; 10671112), Shandong Province (No. Q2007A04), and National Basic Research Program of China (973 Program) (No. 2007CB814904).     

Large deviations for stochastic PDE with Lévy noise

We prove a large deviation principle result for solutions of abstract stochastic evolution equations perturbed by small Lévy noise. We use general large deviations theorems of Varadhan and Bryc coupled with the techniques of Feng and Kurtz (2006) [15], viscosity solutions of integro-partial differential equations in Hilbert spaces, and deterministic optimal control methods. The Laplace limit is identified as a viscosity solution of a Hamilton-Jacobi-Bellman equation of an associated control problem. We also establish exponential moment estimates for solutions of stochastic evolution equations driven by Lévy noise. General results are applied to stochastic hyperbolic equations perturbed by subordinated Wiener process.     

Zero dispersion and viscosity limits of invariant manifolds for focusing nonlinear Schrödinger equations

Zero dispersion and viscosity limits of invariant manifolds for focusing nonlinear Schrödinger equations (NLS) are studied. We start with spatially uniform and temporally periodic solutions (the so-called Stokes waves). We find that the spectra of the linear NLS at the Stokes waves often have surprising limits as dispersion or viscosity tends to zero. When dispersion (or viscosity) is set to zero, the size of invariant manifolds and/or Fenichel fibers approaches zero as viscosity (or dispersion) tends to zero. When dispersion (or viscosity) is nonzero, the size of invariant manifolds and/or Fenichel fibers approaches a nonzero limit as viscosity (or dispersion) tends to zero. When dispersion is nonzero, the center-stable manifold, as a function of viscosity, is not smooth at zero viscosity. A subset of the center-stable manifold is smooth at zero viscosity. The unstable Fenichel fiber is smooth at zero viscosity. When viscosity is nonzero, the stable Fenichel fiber is smooth at zero dispersion.     

Semi-concave singularities and the Hamilton-Jacobi equation

We study the Cauchy problem for the Hamilton-Jacobi equation with a semiconcave initial condition. We prove an inequality between two types of weak solutions emanating from such an initial condition (the variational and the viscosity solution).We also give conditions for an explicit semi-concave function to be a viscosity solution. These conditions generalize the entropy inequality characterizing piecewise smooth solutions of scalar conservation laws in dimension one.     

Moduli of Continuity for Viscosity Solutions on Manifolds

We establish the estimates of modulus of continuity for viscosity solutions of nonlinear evolution equations on manifolds, extending previous work of Andrews and Clutterbuck for regular solutions on manifolds (Andrews and Clutterbuck in Anal PDE 6(5):1013–1024, 2013) and the first author’s recent work for viscosity solutions in Euclidean spaces (Li in Proc Am Math Soc 144(4):1717–1724, 2016).     

Global existence of dissipative solutions to the Hunter-Saxton equation via vanishing viscosity

Using the vanishing viscosity method, we prove the global existence of dissipative weak solutions to the Hunter-Saxton equation that describes the propagation of waves in a massive director field of a nematic liquid crystal. Our main tool is the Lp Young measure theory. We also derive the upper bound on the convergence rate for the vanishing viscosity approximations.     

Viscosity Solutions of Integro-Differential Equations and Passport Options in a Jump-Diffusion Model

We study the viscosity solutions of integro-differential Hamilton–Jacobi–Bellman equations of degenerate parabolic type. These equations are from the pricing problem for the European passport options in a jump-diffusion model. The passport option is a call option on a trading account. We discuss the mathematical model for pricing problem. We prove the comparison principle, uniqueness and convexity preserving for the viscosity solutions of related pricing equations.     

Perron's method for quasilinear hyperbolic systems: Part I

We define a notion of viscosity solution (sub-, supersolution) for these systems, prove a comparison principle and we prove existence of viscosity solutions using a Perron like method. In Part I, we do all the above except prove existence using the Perron method.     

Viscosity solutions for elliptic-parabolic problems

We study an elliptic-parabolic problem appearing in the theory of partially saturated flows in the framework of viscosity solutions. This is part of current investigation to understand the theory of viscosity solutions for PDE problems involving free boundaries. We prove that the problem is well posed in the viscosity setting and compare the results with the weak theory. Dirichlet or Neumann boundary conditions are considered.     

On second grade fluids with vanishing viscosity

We consider in ℝⁿ (n = 2, 3) the equation of a second grade fluid with vanishing viscosity, also known as Camassa-Holm equation. We prove local existence and uniqueness of solutions for smooth initial data. We also give a blow-up condition which implies that the solution is global for n = 2. Finally, we prove the convergence of the solutions of second grade fluid equation to the solution of the Camassa-Holm equation as the viscosity tends to zero.     

Optimal control of diffusion processes and hamilton–jacobi–bellman equations part 2 : viscosity solutions and uniqueness

We consider general optimal stochastic control problems and the associated Hamilton–Jacobi–Bellman equations. We develop a general notion of week solutions – called viscosity solutions – of the amilton–Jocobi–Bellman equations that is stable and we show that the optimal cost functions of the control problems are always solutions in that sense of the Hamilton–Jacobi–Bellman equations. We then prove general uniqueness results for viscosity solutions of the Hamilton–Jacobi–Bellman equations.