Zusammenfassung: This monograph offers a self-contained introduction to the regularity theory for integro-differential elliptic equations, mostly developed in the 21st century. This class of equations finds relevance in fields such as analysis, probability theory, mathematical physics, and in several contexts in the applied sciences. The work gives a detailed presentation of all the necessary techniques, with a primary focus on the main ideas rather than on proving all the results in their greatest generality. The basic building blocks are presented first, with the study of the square root of the Laplacian, and weak solutions to linear equations. Subsequently, the theory of viscosity solutions to nonlinear equations is developed, and proofs are provided for the main known results in this context. The analysis finishes with the investigation of obstacle problems for integro-differential operators and establishes the regularity of solutions and free boundaries. A distinctive feature of this work lies in its presentation of nearly all covered material in a monographic format for the first time, and several proofs streamline, and often simplify, those in the original papers. Furthermore, various open problems are listed throughout the chapters

In the theory of partial differential equations, the study of elliptic equations occupies a preeminent position, both because of the importance which it assumes for various questions in mathematical physics, and because of the completeness of the results obtained up to the present time. In spite of this, even in the more classical treatises on analysis the theory of elliptic equations has been considered and illustrated only from particular points of view, while the only expositions of the whole theory, the extremely valuable ones by LICHTENSTEIN and AscoLI, have the charac ter of encyclopedia articles and date back to many years ago. Consequently it seemed to me that it would be of some interest to try to give an up-to-date picture of the present state of research in this area in a monograph which, without attaining the dimensions of a treatise, would nevertheless be sufficiently extensive to allow the expo sition, in some cases in summary form, of the various techniques used in the study of these equations.

The material presented here corresponds to Fermi lectures that I was invited to deliver at the Scuola Normale di Pisa in the spring of 1998. The obstacle problem consists in studying the properties of minimizers of the Dirichlet integral in a domain D of Rn, among all those configurations u with prescribed boundary values and costrained to remain in D above a prescribed obstacle F. In the Hilbert space H1(D) of all those functions with square integrable gradient, we consider the closed convex set K of functions u with fixed boundary value and which are greater than F in D. There is a unique point in K minimizing the Dirichlet integral. That is called the solution to the obstacle problem.

The Green function has played a key role in the analytical approach that in recent years has led to important developments in the study of stochastic processes with jumps. In this Research Note, the authors-both regarded as leading experts in the field- collect several useful results derived from the construction of the Green function and its estim

In the few years since their appearance in the mid-sixties, variational inequalities have developed to such an extent and so thoroughly that they may now be considered an "institutional" development of the theory of differential equations (with appreciable feedback as will be shown). This book was written in the light of these considerations both in regard to the choice of topics and to their treatment. In short, roughly speaking my intention was to write a book on second-order elliptic operators, with the first half of the book, as might be expected, dedicated to function spaces and to linear theory whereas the second, nonlinear half would deal with variational inequalities and non variational obstacle problems, rather than, for example, with quasilinear or fully nonlinear equations (with a few exceptions to which I shall return later). This approach has led me to omit any mention of "physical" motivations in the wide sense of the term, in spite of their historical and continuing importance in the development of variational inequalities. I here addressed myself to a potential reader more or less aware of the significant role of variational inequalities in numerous fields of applied mathematics who could use an analytic presentation of the fundamental theory, which would be as general and self-contained as possible.

Recently, there has appeared a new type of evaluating partial differential equations with Volterra integral operators in various practical areas. Such equations possess new physical and mathematical properties. This monograph systematically discusses application of the finite element methods to numerical solution of integrodifferential equations. It will be useful for numerical analysts, mathematicians, physicists and engineers. Advanced undergraduates and graduate students should also find it beneficial.

Here is a rigorous introduction to the most important and useful solution methods of various types of stochastic control problems for jump diffusions and its applications. Discussion includes the dynamic programming method and the maximum principle method, and their relationship. The text emphasises real-world applications, primarily in finance. Results are illustrated by examples, with end-of-chapter exercises including complete solutions. The 2nd edition adds a chapter on optimal control of stochastic partial differential equations driven by Lévy processes, and a new section on optimal stopping with delayed information. Basic knowledge of stochastic analysis, measure theory and partial differential equations is assumed.