Lipschitz Regularity of Solutions for Mixed Integro-Differential Equations

We establish new Hölder and Lipschitz estimates for viscosity solutions of a large class of elliptic and parabolic nonlinear integro-differential equations, by the classical Ishii–Lionsʼs method. We thus extend the Hölder regularity results recently obtained by Barles, Chasseigne and Imbert (2011). In addition, we deal with a new class of nonlocal equations that we term mixed integro-differential equations. These equations are particularly interesting, as they are degenerate both in the local and nonlocal term, but their overall behavior is driven by the local–nonlocal interaction, e.g. the fractional diffusion may give the ellipticity in one direction and the classical diffusion in the complementary one.