Viscosity solution
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. 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, differential games or front evolution problems, as well as second-order equations such as the ones arising in stochastic optimal control or stochastic differential games.
The classical concept was that a PDE
over a domain has a solution if we can find a function u continuous and differentiable over the entire domain such that,,, satisfy the above equation at every point.
If a scalar equation is degenerate elliptic, one can define a type of weak solution called viscosity solution.
Under the viscosity solution concept, u does not need to be everywhere differentiable. There may be points where either or does not exist and yet u satisfies the equation in an appropriate generalized sense. The definition allows only for certain kind of singularities, so that existence, uniqueness, and stability under uniform limits, hold for a large class of equations.
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.; Degenerate elliptic : An equation in a domain is defined to be degenerate elliptic if for any two symmetric matrices and such that is positive definite, and any values of, and, we have the inequality. For example, is degenerate elliptic since in this case,, and the trace of is the sum of its eigenvalues. Any real first order equation is degenerate elliptic.
; Subsolution : An upper semicontinuous function in is defined to be a subsolution of a degenerate elliptic equation in the viscosity sense if for any point and any function such that and in a neighborhood of, we have.
; Supersolution : A lower semicontinuous function in is defined to be a supersolution of a degenerate elliptic equation in the viscosity sense if for any point and any function such that and in a neighborhood of, we have.
; Viscosity solution : A continuous function u is a viscosity solution of the PDE if it is both a supersolution and a subsolution.
Example
Consider the boundary value problem, or, on with boundary conditions. The function is the unique viscosity solution. To see this, note that the boundary conditions are satisfied, and is well-defined on the interior except at. Thus, it remains to show that the conditions for subsolution and supersolution hold at.First, suppose that is any function differentiable at with and near. From these assumptions, it follows that. For positive, this inequality implies, using that for. On the other hand, for, we have that. Because is differentiable, the left and right limits agree and are equal to, and we therefore conclude that, i.e.,. Thus, is a subsolution. Moreover, the fact that is a supersolution holds vacuously, since there is no function differentiable at with and near. This implies that is a viscosity solution.
Discussion
The previous boundary value problem is an Eikonal equation in a single spatial dimension with, where the solution is known to be the signed distance function to the boundary of the domain. Note also in the previous example, the importance of the sign of. In particular, the viscosity solution to the PDE with the same boundary conditions is. This can be explained by observing that the solution is the limiting solution of the vanishing viscosity problem as goes to zero, while is the limit solution of the vanishing viscosity problem. One can readily confirm that solves the PDE for each epsilon. Further, the family of solutions converge toward the solution as vanishes.Basic properties
The three basic properties of viscosity solutions are existence, uniqueness and stability.- The uniqueness of solutions requires some extra structural assumptions on the equation. Yet it can be shown for a very large class of degenerate elliptic equations. It is a direct consequence of the comparison principle. Some simple examples where comparison principle holds are
- with H uniformly continuous in x.
- so that is Lipschitz with respect to all variables and for every and, for some.
- The existence of solutions holds in all cases where the comparison principle holds and the boundary conditions can be enforced in some way. For first order equations, it can be obtained using the vanishing viscosity method or for most equations using Perron's method. There is a generalized notion of boundary condition, in the viscosity sense. The solution to a boundary problem with generalized boundary conditions is solvable whenever the comparison principle holds.
- The stability of solutions in holds as follows: a locally uniform limit of a sequence of solutions is a solution. More generally, the notion of viscosity sub- and supersolution is also conserved by half-relaxed limits.
History
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 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. In particular, Viscosity solutions are essential in the study of the infinity Laplacian.
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 generally involve physical viscosity. Nevertheless, while the theory of viscosity solutions is sometimes considered unrelated to viscous fluids, irrotational fluids can indeed be described by a Hamilton-Jacobi equation
. In this case, viscosity corresponds to the bulk viscosity of an irrotational, incompressible fluid.
Other names that were suggested were Crandall–Lions solutions, in honor to their pioneers, -weak solutions, referring to their stability properties, or comparison solutions, referring to their most characteristic property.