Semiconcavity of viscosity solutions for a class of degenerate elliptic integro-differential equations in $\mathbb R^n$
Chenchen Mou · arXiv (Cornell University) · 2015
This paper is concerned with semiconcavity of viscosity solutions for a class of degenerate elliptic integro-differential equations in $\mathbb R^n$. This class of equations includes Bellman equations containing operators of Lévy-Itô type. Hölder and Lipschitz continuity of viscosity solutions for a more general class of degenerate elliptic integro-differential equations are also provided.