Regularity theory for fully nonlinear integro-differential equations

Abstract

We consider nonlinear integro-differential equations, like the ones that arise from stochastic control problems with purely jump L\`evy processes. We obtain a nonlocal version of the ABP estimate, Harnack inequality, and interior $C^{1,\alpha}$ regularity for general fully nonlinear integro-differential equations. Our estimates remain uniform as the degree of the equation approaches two, so they can be seen as a natural extension of the regularity theory for elliptic partial differential equations.Comment: Minor typos corrected, and some extra comments adde