Abstract. In this paper we prove the existence of smooth solutions to fully nonlinear and nonlocal parabolic equations with critical index. The proof relies on the apriori Hölder estimate for advection fractional-diffusion equation established by Silvestre [11].
Introduction and main resultIn this paper we are interested in solving the following fully nonlinear and nonlocal parabolic equation:where F (t, x, u, w, q) where F denotes the Fourier's transform, S(R d ) is the Schwartz class of smooth real-valued rapidly decreasing functions.Recently, in the sense of viscosity solutions, fully nonlinear and nonlocal elliptic and parabolic equations have been extensively studied (cf. [4,10,3,9], etc.). In [4], Caffarelli and Silvestre studied the following type of nonlocal equation:where α ∈ (0, 2), i, j ranges in arbitrary sets, c i j ∈ R and b i j ∈ R d , the kernel a i j (y) satisfiesThis type of equation appears in the stochastic control problems. In [4], the extremal Pucci operators are used to characterize the ellipticity, and the ABP estimate, Harnack inequality and interior C 1,β -regularity were obtained. In [11], Silvestre studied the following nonlocal parabolic equation with critical index α = 1:and established C 1,β -regularity of viscosity solutions. In particular, the following first order Hamilton-Jacobi equation is covered by the above equation when H is Lipschitz continuous:In [9], Lara and Davila extended Silvestre's result to the more general case, and in particular, focused on the uniformity of regularity as α → 2.However, it is not known how to solve the fully nonlinear and nonlocal equation (1.1) in Sobolev spaces. Let us fix the main idea of the present paper for solving (1.1). Assume that F does not depend on u. Taking the gradient with respect to x for equation (1.1), we have We make the following observation: