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In this article we consider a large family of nonlinear nonlocal equations involving gradient nonlinearity and provide a unified approach, based on the Ishii-Lions type technique, to establish Liouville property of the solutions. We also answer an open problem raised by [19]. Some applications to regularity issues are also studied., Comment: 28 pages

We study the existence-uniqueness of solution $(u, \lambda)$ to the ergodic Hamilton-Jacobi equation $$(-\Delta)^s u + H(x, \nabla u) = f-\lambda\quad \text{in}\; \mathbb{R}^d,$$ and $u\geq 0$, where $s\in (\frac{1}{2}, 1)$. We show that the critical $\lambda=\lambda^*$, defined as the infimum of all $\lambda$ attaining a non-negative supersolution, attains a nonnegative solution $u$. Under suitable conditions, it is also shown that $\lambda^*$ is the supremum of all $\lambda$ for which a non-positive subsolution is possible. Moreover, uniqueness of the solution $u$, corresponding to $\lambda^*$, is also established. Furthermore, we provide a probabilistic characterization that determines the uniqueness of the pair $(u, \lambda^*)$ in the class of all solution pair $(u, \lambda)$ with $u\geq 0$. Our proof technique involves both analytic and probabilistic methods in combination with a new local Lipschitz estimate obtained in this article.

Risk-sensitive control has received considerable interest since the seminal work of Howard and Matheson [120] because of its ability to account for fluctuations about the mean, its connection with $H_\infty$ control, and its application to financial mathematics. In this article, we attempt to put together a comprehensive survey on the research done on ergodic risk-sensitive control over the last four decades., Comment: 47 pages

In this article, we study the ergodic risk-sensitive control problem for controlled regime-switching diffusions. Under a blanket stability hypothesis, we solve the associated nonlinear eigenvalue problem for weakly coupled systems and characterize the optimal stationary Markov controls via a suitable verification theorem. We also consider the near-monotone case and obtain the existence of principal eigenfunction and optimal stationary Markov controls.

In this article we consider a class of nonlinear integro-differential equations of the form $$\inf_{\tau \in\mathcal{T}} \bigg\{\int_{\mathbb{R}^d} (u(x+y)+u(x-y)-2u(x))\frac{k_{\tau}(x,y)}{|y|^{d+2s}} \,dy+ b_{\tau}(x) \cdot \nabla u(x)+g_{\tau}(x) \bigg\}-\lambda^*=0\quad \text{in} \hspace{2mm} \mathbb{R}^d,$$ where $0<\lambda(2-2s)\leq k_{\tau}\leq \Lambda (2-2s)$ , $s\in (\frac{1}{2},1)$. 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 $k_{\tau}\,|y|^{-d-2s}$ and the drift $b_\tau$. Under a Foster-Lyapunov condition, we establish the existence of a unique solution pair $(u, \lambda^*)$ 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)]., Comment: Published in SIAM J. Math. Anal

Let $\Omega$ be a bounded $C^2$ domain in $\mathbb{R}^n$ and $u\in C(\mathbb{R}^n)$ solves \begin{equation*} \begin{aligned} \Delta u + a Iu + C_0|Du| \geq -K\quad \text{in}\; \Omega, \quad \Delta u + a Iu - C_0|Du|\leq K \quad \text{in}\; \Omega, \quad u=0\quad \text{in}\; \Omega^c, \end{aligned} \end{equation*} in the viscosity sense, where $0\leq a\leq A_0$, $C_0, K\geq 0$, and $I$ is a suitable nonlocal operator. We show that $u/\delta$ is in $C^{\kappa}(\bar \Omega)$ for some $\kappa\in (0,1)$, where $\delta(x)={\rm dist}(x, \Omega^c)$. Using this result, we also establish that $u\in C^{1, \gamma}(\bar\Omega)$. Finally, we apply these results to study an overdetermined problem for mixed local-nonlocal operators., Comment: 26 pages

In this article we consider a class of non-degenerate elliptic operators obtained by superpositioning the Laplacian and a general nonlocal operator. We study the existence-uniqueness results for Dirichlet boundary value problems, maximum principles and generalized eigenvalue problems. As applications to these results, we obtain Faber-Krahn inequality and a one-dimensional symmetry result related to the Gibbons' conjecture. The latter results substantially extend the recent results of Biagi et.\ al. [7,9] who consider the operators of the form $-\Delta + (-\Delta)^s$ with $s\in (0, 1)$.

In this article we study ergodic problems in the whole space $\mathbb{R}^N$ for weakly coupled systems of viscous Hamilton-Jacobi equations with coercive right-hand sides. The Hamiltonians are assumed to have a fairly general structure and the switching rates need not be constant. We prove the existence of a critical value $\lambda^*$ such that the ergodic eigenvalue problem has a solution for every $\lambda\leq\lambda^*$ and no solution for $\lambda>\lambda^*$. Moreover, the existence and uniqueness of non-negative solutions corresponding to the value $\lambda^*$ are also established. We also exhibit the implication of these results to the ergodic optimal control problems of controlled switching diffusions., Comment: 25 pages

We consider a large family of discrete and continuous time controlled Markov processes and study an ergodic risk-sensitive minimization problem. Under a blanket stability assumption, we provide a complete analysis to this problem. In particular, we establish uniqueness of the value function and verification result for optimal stationary Markov controls, in addition to the existence results. We also revisit this problem under a near-monotonicity condition but without any stability hypothesis. Our results also include policy improvement algorithms both in discrete and continuous time frameworks., Comment: 43 pages

We consider general linear non-degenerate weakly-coupled cooperative elliptic systems and study certain monotonicity properties of the generalized principal eigenvalue in $\mathbb{R}^d$ with respect to the potential. It is shown that monotonicity on the right is equivalent to the recurrence property of the twisted operator which is, in turn, equivalent to the minimal growth property at infinity of the principal eigenfunctions. The strict monotonicity property of the principal eigenvalue is shown to be equivalent with the exponential stability of the twisted operators. An equivalence between the monotonicity property on the right and the stochastic representation of the principal eigenfunction is also established., Comment: 29 pages

In this article we find necessary and sufficient conditions for the strong maximum principle and compact support principle for non-negative solutions to the quasilinear elliptic inequalities $$\Delta_\infty u + G(|Du|) - f(u)\,\leq 0\quad \text{in}\; \mathcal{O},$$ and $$\Delta_\infty u + G(|Du|) - f(u)\,\geq 0\quad \text{in}\; \mathcal{O},$$ where $\mathcal{O}$ denotes the infinity Laplacian, $G$ is an appropriate continuous function and $f$ is a nondecreasing, continuous function with $f(0)=0$., Comment: 12 pages, interesting comments are most welcome

We study a class of nonlocal reaction-diffusion equations with a harvesting term where the nonlocal operator is given by a Bernstein function of the Laplacian. In particular, it includes the fractional Laplacian, fractional relativistic operators, sum of fractional Laplacians of different order etc. We study existence, uniqueness and multiplicity results of the solutions to the steady state equation. We also consider the parabolic counterpart and establish the long time asymptotic of the solutions. Our proof techniques rely on both analytic and probabilistic arguments., Comment: 27 pages

We study the generalized eigenvalue problem on the whole space for a class of integro-differential elliptic operators. The nonlocal operator is over a finite measure, but this has no particular structure. Some of our results even hold for singular kernels. The first part of the paper presents results concerning the existence of a principal eigenfunction. Then we present various necessary and/or sufficient conditions for the maximum principle to hold, and use these to characterize the simplicity of the principal eigenvalue., Comment: 23 pages

Under the lack of variational structure and nondegeneracy, we investigate three notions of \textit{generalized principal eigenvalue} for a general infinity Laplacian operator with gradient and homogeneous term. A Harnack inequality and boundary Harnack inequality are proved to support our analysis. This is a continuation of our first work [3] and a contribution in the development of the theory of \textit{generalized principal eigenvalue} beside the works [8, 13, 12, 9, 29]. We use these notions to characterize the validity of maximum principle and study the existence, nonexistence and uniqueness of positive solutions of Fisher-KPP type equations in the whole space. The sliding method is intrinsically improved for infinity Laplacian to solve the problem. The results are related to the Liouville type results, which will be meticulously explained., Comment: 29 pages

We consider a class of fully nonlinear integro-differential operators where the nonlocal integral has two components: the non-degenerate one corresponds to the $\alpha$-stable operator and the second one (possibly degenerate) corresponds to a class of \textit{lower order} L\'evy measures. Such operators do not have a global scaling property. We establish H\"{o}lder regularity, Harnack inequality and boundary Harnack property of solutions of these operators., Comment: 20 pages

We study the generalized eigenvalue problem in $\mathbb{R}^N$ for a general convex nonlinear elliptic operator which is locally elliptic and positively $1$-homogeneous. Generalizing article of Berestycki and Rossi in [Comm. Pure Appl. Math. 68 (2015), no. 6, 1014-1065] we consider three different notions of generalized eigenvalues and compare them. We also discuss the maximum principles and uniqueness of principal eigenfunctions., Comment: 21 pages. To appear in Adv. Calc. Var

In this paper, we prove new Liouville type results for a nonlinear equation involving infinity Laplacian with gradient of the form $$\Delta^\gamma_\infty u + q(x)\cdot \nabla{u} |\nabla{u}|^{2-\gamma} + f(x, u)\,=\,0\quad \text{in}\; \mathbb{R}^d,$$ where $\gamma\in [0, 2]$ and $\Delta^\gamma_\infty$ is a $(3-\gamma)$-homogeneous operator associated with the infinity Laplacian. Under the assumptions $\liminf_{|x|\to\infty}\lim_{s\to0}f(x,s)/s^{3-\gamma}>0$ and $q$ is a continuous function vanishing at infinity, we construct a positive bounded solution to the equation and if $f(x,s)/s^{3-\gamma}$ decreasing in $s$, we further obtain the uniqueness by improving sliding method for infinity Laplacian operator with nonlinear gradient. Otherwise, if $\limsup_{|x|\to\infty}\sup_{[\delta_1,\delta_2]}f(x,s)<0$, then nonexistence result holds provided additionally some suitable conditions. To this aim, we develop novel techniques to overcome the difficulties stemming from the degeneracy of infinity Laplacian and nonlinearity of the gradient term. Our approach is based on a new regularity result, the strong maximum principle, and Hopf's lemma for infinity Laplacian involving gradient and potential. We also construct some examples to illustrate our results. We further investigate some deeper qualitative properties of the principal eigenvalue of the corresponding nonlinear operator $$\Delta^\gamma_\infty u + q(x)\cdot \nabla{u} |\nabla{u}|^{2-\gamma} + c(x)u^{3-\gamma},$$ with Dirichlet boundary condition in smooth bounded domains, which may be of independent interest. The results obtained here could be considered as sharp extension of the Liouville type results obtained in [1, 2, 11, 24, 48, 52]., Comment: 28 pages

In this article we consider the ergodic risk-sensitive control problem for a large class of multidimensional controlled diffusions on the whole space. We study the minimization and maximization problems under either a blanket stability hypothesis, or a near-monotone assumption on the running cost. We establish the convergence of the policy improvement algorithm for these models. We also present a more general result concerning the region of attraction of the equilibrium of the algorithm., Comment: 20 pages

We consider a class of diffusions controlled through the drift and jump size, and driven by a jump L\'evy process and a nondegenerate Wiener process, and we study infinite horizon (ergodic) risk-sensitive control problem for this model. We start with the controlled Dirichlet eigenvalue problem in smooth bounded domains, which also allows us to generalize current results in the literature on exit rate control problems. Then we consider the infinite horizon average risk-sensitive minimization problem and maximization problems on the whole domain. Under suitable hypotheses, we establish existence and uniqueness of a principal eigenfunction for the Hamilton-Jacobi-Bellman (HJB) operator on the whole space, and fully characterize stationary Markov optimal controls as the measurable selectors of this HJB equation., Comment: 33 pages

Our main aim is to study Green function for the fractional Hardy operator $P:=(-\Delta)^s -\frac{\theta}{|x|^{2s}}$ in $\mathbb{R}^N$, where $0<\theta<\Lambda_{N,s}$ and $\Lambda_{N,s}$ is the best constant in the fractional Hardy inequality. Using Green function, we also show that the integral representation of the weak solution holds., Comment: 16 pages

Uniqueness of positive solutions to viscous Hamilton-Jacobi-Bellman (HJB) equations of the form $-\Delta u(x) + \frac{1}{\gamma} |D{u}(x)|^\gamma = f(x) - \lambda$, with $f$ a coercive function and $\lambda$ a constant, in the subquadratic case, that is, $\gamma\in(1,2)$, appears to be an open problem. Barles and Meireles [Comm. Partial Differential Equations 41 (2016)] show uniqueness in the case that $f(x) \approx |x|^\beta$ and $|D f(x)|\lessapprox |x|^{(\beta-1)_+}$ for some $\beta>0$, essentially matching earlier results of Ichihara, who considered more general Hamiltonians but with better regularity for $f$. Without enforcing this assumption, to our knowledge, there are no results on uniqueness in the literature. In this short article, we show that the equation has a unique positive solution for any locally Lipschitz continuous, coercive $f$ which satisfies $|D f(x)| \le \kappa\bigl(1 +|f(x)|^{2-\frac{1}{\gamma}}\bigr)$ for some positive constant $\kappa$. Since $2-\frac{1}{\gamma}>1$, this assumption imposes very mild restrictions on the growth of the potential $f$. We also show that this solution fully characterizes optimality for the associated ergodic problem. Our method involves the study of an infinite dimensional linear program for elliptic equations for measures, and is very different from earlier approaches. It also applies to the larger class of Hamiltonians studied by Ichihara, and we show that it is well suited to provide verification of optimality results for the associated ergodic control problems, even in a pathwise sense, and without resorting to the parabolic problem., Comment: 12 pages

We study the overdetermined problem for a large family of non-local operators given by generators of subordinate Brownian motions. In particular, this family includes the fractional Laplacian, relativistic stable operators etc. We consider these problems in bounded domains, exterior domains, and in annular domains and we show that under suitable conditions, the domains and solutions are both radially symmetric. Our method uses both analytic and probabilistic tools.

Different ensembles of the same density matrix are indistinguishable within the modern Kolmogorov probability measure theory of quantum random phenomena. We find that changing the framework from the Kolmogorov one to a frequentist-inspired theory of quantum random phenomena -- a la von Mises -- would lift the indistinguishability, and potentially cost us the no-signaling principle (i.e., lead to superluminal communication). We believe that this adds to the recent works on the search for a suitable representation of the state of a quantum system. While erstwhile arguments for potential modifications in the representation of the quantum state were restricted to possible variations in the formalism of the quantum theory, we indicate a possible fallout of altering the underlying theory of random processes., Comment: v2: 11 pages, 1 figure, presentation bettered

We address the variational formulation of the risk-sensitive reward problem for non-degenerate diffusions on $\mathbb{R}^d$ controlled through the drift. We establish a variational formula on the whole space and also show that the risk-sensitive value equals the generalized principal eigenvalue of the semilinear operator. This can be viewed as a controlled version of the variational formulas for principal eigenvalues of diffusion operators arising in large deviations. We also revisit the average risk-sensitive minimization problem and by employing a gradient estimate developed in this paper, we extend earlier results to unbounded drifts and running costs., Comment: 29 pages

We consider a large family of integro-differential equations and establish a non-local counterpart of Hopf's lemma, directly expressed in terms of the symbol of the operator. As closely related problems, we also obtain a variety of maximum principles for viscosity solutions. In our approach we combine direct analysis with functional integration, allowing a robust control around the boundary of the domain, and make use of the related ascending ladder height-processes. We then apply these results to a study of principal eigenvalue problems, the radial symmetry of the positive solutions, and the overdetermined non-local torsion equation., Comment: 18 pages

We consider a general class of metric measure spaces equipped with a regular Dirichlet form and then provide a lower bound on the hitting time probabilities of the associated Hunt process. Using these estimates we establish (i) a generalization of the classical Lieb's inequality on metric measure spaces and (ii) uniqueness of nonnegative super-solutions on metric measure spaces. Finally, using heat-kernel estimates we generalize the local Faber-Krahn inequality recently obtained in [LS18].

In this article we present a simple and unified probabilistic approach to prove nonexistence of positive super-solutions for systems of equations involving potential terms and the fractional Laplacian in an exterior domain. Such problems arise in the analysis of a priori estimates of solutions. The class of problems we consider in this article is quite general compared to the literature. The main ingredient for our proofs is the hitting time estimates for the symmetric $\alpha$-stable process and probabilistic representation of the super-solutions., Comment: 19 pages

We address the variational problem for the generalized principal eigenvalue on $\mathbb{R}^d$ of linear and semilinear elliptic operators associated with nondegenerate diffusions controlled through the drift. We establish the Collatz-Wielandt formula for potentials that vanish at infinity under minimal hypotheses, and also for general potentials under blanket geometric ergodicity assumptions. We also present associated results having the flavor of a refined maximum principle., Comment: 19 pages

We consider a class of semilinear nonlocal problems with vanishing exterior condition and establish a Ambrosetti-Prodi type phenomenon when the nonlinear term satisfies certain conditions. Our technique makes use of the probabilistic tools and heat kernel estimates., Comment: arXiv admin note: text overlap with arXiv:1803.08540

We establish Ambrosetti--Prodi type results for viscosity and classical solutions of nonlinear Dirichlet problems for the fractional Laplace and comparable operators. In the choice of nonlinearities we consider semi-linear and super-linear growth cases separately. We develop a new technique using a functional integration-based approach, which is more robust in the non-local context than a purely analytic treatment.

We consider a class of nonlinear integro-differential operators and prove existence of two principal (half) eigenvalues in bounded smooth domains with exterior Dirichlet condition. We then establish simplicity of the principal eigenfunctions in viscosity sense, maximum principles, continuity property of the principal eigenvalues with respect to domains etc. We also prove an anti-maximum principle and study existence result for some nonlinear problem via Rabinowitz bifurcation-type results., Comment: Theorem 2.6 updated

We show a strong maximum principle and an Alexandrov-Bakelman-Pucci estimate for the weak solutions of a Cauchy problem featuring Caputo time-derivatives and non-local operators in space variables given in terms of Bernstein functions of the Laplacian. To achieve this, first we propose a suitable meaning of a weak solution, show their existence and uniqueness, and establish a probabilistic representation in terms of time-changed Brownian motion. As an application, we also discuss an inverse source problem., Comment: 17 pages

We consider Dirichlet exterior value problems related to a class of non-local Schr\"odinger operators, whose kinetic terms are given in terms of Bernstein functions of the Laplacian. We prove elliptic and parabolic Aleksandrov-Bakelman-Pucci type estimates, and as an application obtain existence and uniqueness of weak solutions. Next we prove a refined maximum principle in the sense of Berestycki-Nirenberg-Varadhan, and a converse. Also, we prove a weak anti-maximum principle in the sense of Cl\'ement-Peletier, valid on compact subsets of the domain, and a full anti-maximum principle by restricting to fractional Schr\"odinger operators. Furthermore, we show a maximum principle for narrow domains, and a refined elliptic ABP-type estimate. Finally, we obtain Liouville-type theorems for harmonic solutions and for a class of semi-linear equations. Our approach is probabilistic, making use of the properties of subordinate Brownian motion., Comment: 35 pages, Liouville-type theorems for semi-linear equations added

We derive a lower bound on the location of global extrema of eigenfunctions for a large class of non-local Schr\"odinger operators in convex domains under Dirichlet exterior conditions, featuring the symbol of the kinetic term, the strength of the potential, and the corresponding eigenvalue, and involving a new universal constant. We show a number of probabilistic and spectral geometric implications, and derive a Faber-Krahn type inequality for non-local operators. Our study also extends to potentials with compact support, and we establish bounds on the location of extrema relative to the boundary edge of the support or level sets around minima of the potential., Comment: 30 pages, To appear in Jour. Diff. Equation, 2019

We present certain Liouville properties of eigenfunctions of second-order elliptic operators with real coefficients, via an approach that is based on stochastic representations of positive solutions, and criticality theory of second-order elliptic operators. These extend results of Y. Pinchover to the case of nonsymmetric operators of Schr\"odinger type. In particular, we provide an answer to an open problem posed by Pinchover in [Comm. Math. Phys. 272 (2007), no. 1, 75-84, Problem 5]. In addition, we prove a lower bound on the decay of positive supersolutions of general second-order elliptic operators in any dimension, and discuss its implications to the Landis conjecture., Comment: 33 pages

Eigenfunctions of the fractional Schr\"odinger operators in a domain $\mathcal{D}$ are considered, and a relation between the supremum of the potential and the distance of a maximizer of the eigenfunction from $\partial\mathcal{D}$ is established. This, in particular, extends a recent result of Rachh and Steinerberger to the fractional Schr\"odinger operators. We also propose a fractional version of the Barta's inequality and also generalize a celebrated Lieb's theorem for fractional Schr\"odinger operators. As applications of above results we obtain a Faber-Krahn inequality for non-local Schr\"odinger operators., Comment: 12 pages

Zero sum games with risk-sensitive cost criterion are considered with underlying dynamics being given by controlled stochastic differential equations. Under the assumption of geometric stability on the dynamics , we completely characterize all possible saddle point strategies in the class of stationary Markov controls. In addition, we also establish existence-uniqueness result for the value function of the Hamilton-Jacobi-Isaacs equation.

This paper studies the eigenvalue problem on $\mathbb{R}^d$ for a class of second order, elliptic operators of the form $\mathscr{L} = a^{ij}\partial_{x_i}\partial_{x_j} + b^{i}\partial_{x_i} + f$, associated with non-degenerate diffusions. We show that strict monotonicity of the principal eigenvalue of the operator with respect to the potential function $f$ fully characterizes the ergodic properties of the associated ground state diffusion, and the unicity of the ground state, and we present a comprehensive study of the eigenvalue problem from this point of view. This allows us to extend or strengthen various results in the literature for a class of viscous Hamilton-Jacobi equations of ergodic type with smooth coefficients to equations with measurable drift and potential. In addition, we establish the strong duality for the equivalent infinite dimensional linear programming formulation of these ergodic control problems. We also apply these results to the study of the infinite horizon risk-sensitive control problem for diffusions, and establish existence of optimal Markov controls, verification of optimality results, and the continuity of the controlled principal eigenvalue with respect to stationary Markov controls., Comment: 45 pages