In mathematics, the viscosity solution concept was introduced in the early 1980s by Pierre-Louis Lions and Michael G. Crandall as a generalization of the classical concept of what is meant by a 'solution' to a partial differential equation (PDE). It has been found that the viscosity solution is the natural solution concept to use in many applications of PDE's, including for example first order equations arising in optimal control (the Hamilton–Jacobi equation), differential games (the Isaacs equation) or front evolution problems, as well as second-order equations such as the ones arising in stochastic optimal control or stochastic differential games.
Contents
The classical concept was that a PDE
over a domain
If a scalar equation is degenerate elliptic (defined below), one can define a type of weak solution called viscosity solution. Under the viscosity solution concept, u need not be everywhere differentiable. There may be points where either
Definition
There are several equivalent ways to phrase the definition of viscosity solutions. See for example the section II.4 of Fleming and Soner's book or the definition using semi-jets in the Users Guide.
An equation
An upper semicontinuous function
A lower semicontinuous function
A continuous function u is a viscosity solution of the PDE if it is both a viscosity supersolution and a viscosity subsolution.
Basic properties
The three basic properties of viscosity solutions are existence, uniqueness and stability.
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u + H ( x , ∇ u ) = 0 with H uniformly continuous in x. - (Uniformly elliptic case)
F ( D 2 u , D u , u ) = 0 so thatF is Lipschitz with respect to all variables and for everyr ≤ s andX ≥ Y ,F ( Y , p , s ) ≥ F ( X , p , r ) + λ | | X − Y | | for someλ > 0 .
History
The term viscosity solutions first appear in the work of Michael G. Crandall and Pierre-Louis Lions in 1983 regarding the Hamilton-Jacobi equation. The name is justified by the fact that the existence of solutions was obtained by the vanishing viscosity method. The definition of solution had actually been given earlier by Lawrence Evans in 1980. Subsequently the definition and properties of viscosity solutions for the Hamilton-Jacobi equation were refined in a joint work by Crandall, Evans and Lions in 1984.
For a few years the work on viscosity solutions concentrated on first order equations because it was not known whether second order elliptic equations would have a unique viscosity solution except in very particular cases. The breakthrough result came with the method introduced by Robert Jensen in 1988 to prove the comparison principle using a regularized approximation of the solution which has a second derivative almost everywhere (in modern versions of the proof this is achieved with sup-convolutions and Alexandrov theorem).
In subsequent years the concept of viscosity solution has become increasingly prevalent in analysis of degenerate elliptic PDE. Based on their stability properties, Barles and Souganidis obtained a very simple and general proof of convergence of finite difference schemes. Further regularity properties of viscosity solutions were obtained, especially in the uniformly elliptic case with the work of Luis Caffarelli. Viscosity solutions have become a central concept in the study of elliptic PDE as can be corroborated by the fact that currently the Users guide has almost 4000 citations, being the most cited paper of mathematics for six years straight from 2003 to 2008 according to mathscinet.
In the modern approach, the existence of solutions is obtained most often through the Perron method. The vanishing viscosity method is not practical for second order equations in general since the addition of artificial viscosity does not guarantee the existence of a classical solution. Moreover, the definition of viscosity solutions does not involve any viscosity of any kind. The theory of viscosity solutions is completely unrelated to viscous fluids. Thus, it has been suggested that the name viscosity solution does not represent the concept appropriately. Yet, the name persists because of the history of the subject. Other names that were suggested were Crandall-Lions solutions, in honor to their pioneers,