Viscosity Solution - Definition

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.

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. Any first order equation is degenerate elliptic.

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 .

An 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 .

A continuous function u is a viscosity solution of the PDE if it is both a viscosity supersolution and a viscosity subsolution.

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