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The upper envelope of a locally bounded supremum of subsolutions is a subsolution

Statement

Let U⊆Rn+1 be open, let H:U×Rn→R be continuous, and let F be a nonempty family of real-valued upper semicontinuous viscosity subsolutions of ut+H(x,t,Du)=0 in U. Put w(z):=sup⁡w′∈Fw′(z) for z∈U and assume that w is locally bounded above: w(z)<∞ for every z∈U and w is bounded above on every compact subset of U. Then the upper semicontinuous envelope w∗ (Upper and lower semicontinuous envelopes by local limsup and liminf) is a viscosity subsolution of ut+H(x,t,Du)=0 in U. No choice principle is used.

Facts & Assumptions

Given: An open U⊆Rn+1, continuous H:U×Rn→R, a nonempty family F of upper semicontinuous viscosity subsolutions, w=sup⁡w′∈Fw′, locally bounded above, and its upper envelope w∗.

[F1]

w∗(z)=inf⁡r>0Mr(z) with Mr(z):=sup⁡{w(y):∣y−z∣≤r, y∈U}, and w∗(z)=lim⁡r↓0Mr(z); if w is locally bounded above then w∗ is real-valued on U. The envelope is upper semicontinuous: for z and η>0 choose r>0 with Mr(z)≤w∗(z)+η; then for ∣z′−z∣<r one has Mr−∣z′−z∣(z′)≤Mr(z), hence w∗(z′)≤w∗(z)+η (Upper and lower semicontinuous envelopes by local limsup and liminf).

[F2]

Each w′∈F satisfies ϕt(z0)+H(z0,Dϕ(z0))≤0 at every z0∈U at which w′−ϕ has a local maximum, ϕ∈C1(U) (Viscosity subsolutions and supersolutions of a first-order equation and of the Cauchy problem, Viscosity testing by first-order jets, and closure of the jet inequality).

[F3]

Every upper semicontinuous real-valued function on a nonempty compact subset of Rm attains its maximum there (Semicontinuous extreme value theorem on compact Euclidean sets).

[F4]

If v−ϕ has a local maximum at z0 and B‾(z0,r)⊆U is a ball on which v−ϕ≤v(z0)−ϕ(z0), then for every ε>0 the test ϕε=ϕ+ε∣z−z0∣4 has the same value and first jet as ϕ at z0 and makes v−ϕε strictly maximised over B‾(z0,r) at z0 (Strictification of a viscosity test function by a quartic perturbation).

Proof

technique · near-maximal selection from the supremum plus strict test perturbation
1.1F1F2F3algebra

Strict-contact case. Let ϕ∈C1(U) touch w∗ from above at z0=(x0,t0) with a strict local maximum of w∗−ϕ, and suppose θ:=ϕt(z0)+H(z0,Dϕ(z0))>0. Choose r>0 so that B‾(z0,r)⊆U, the contact is strict on this ball, and ϕt(z)+2(t−t0)+H(z,Dϕ(z)+2(x−x0))>θ/2 throughout it, by continuity. On the compact annulus A={r/2≤∣z−z0∣≤r}, [F1, F3] give the positive gap g=(w∗−ϕ)(z0)−max⁡A(w∗−ϕ). Choose 0<η<g/4 and 0<δ<r/2 such that ∣ϕ(y)−ϕ(z0)∣<η and ∣y−z0∣2<η for ∣y−z0∣<δ. The two supremum definitions in [F1] supply one pair (w′,y) with w′∈F, ∣y−z0∣<δ, and w′(y)>w∗(z0)−η (use a closed radius smaller than δ). By [F3], w′−ϕ−∣z−z0∣2 attains a maximum on B‾(z0,r), of value greater than (w∗−ϕ)(z0)−3η. Its value on A is at most (w∗−ϕ)(z0)−g, since w′≤w≤w∗. Thus any maximiser z∗=(x∗,t∗) lies in B(z0,r/2) and is an interior upper contact for ψ=ϕ+∣z−z0∣2. Its derivatives are ψt(z∗)=ϕt(z∗)+2(t∗−t0) and Dψ(z∗)=Dϕ(z∗)+2(x∗−x0). Their residual is greater than θ/2, contradicting the subsolution inequality [F2]. Hence the desired residual at z0 is nonpositive.

2.1step 1.1F4∎

General contacts and conclusion. If w∗−ϕ merely has a local maximum at z0, fix r>0 with B‾(z0,r)⊆U on which the maximum inequality w∗−ϕ≤w∗(z0)−ϕ(z0) holds and strictify by [F4]: the test ϕε=ϕ+ε∣z−z0∣4 has the same value and first jet at z0 and makes w∗−ϕε strictly maximised at z0 over B‾(z0,r). Step 1.1 applied to ϕε gives ϕt(z0)+H(z0,Dϕ(z0))=(ϕε)t(z0)+H(z0,Dϕε(z0))≤0. Hence w∗ is a viscosity subsolution of the equation in U; the selection of the single witness (w′,y) and of the compact maximiser z∗ involves no choice principle, and the whole argument is pointwise.

Remarks

  • Where local boundedness above is used. It makes w∗ real-valued so that the compact-annulus maximum and the test inequality are meaningful; the family is not assumed to consist of locally bounded functions or to be directed, and no member of the family other than the single witness (w′,y) is examined.
  • Role in Perron's method. This is the load-bearing half of Perron's method for the Cauchy problem: existence between two barriers: the supremum of the admissible subsolutions is made upper semicontinuous by passing to w∗, and this theorem says the envelope is still a subsolution.

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