Optimal semiconcavity with fractional modulus for Hamilton-Jacobi equations with Neumann boundary conditions

Abstract

We study the semiconcavity property of viscosity solutions to Hamilton--Jacobi equations with Neumann boundary conditions. Unlike the state-constraint case, minimizing trajectories associated with the Neumann problem may fail to be $C^1$, so the classical approach based on the regularity of minimizers is no longer available. To overcome this difficulty, we introduce a comparison argument between the constrained action associated with the Skorokhod problem and the unconstrained action, avoiding any use of higher regularity of reflected minimizing trajectories. Under a structural decomposition assumption on the Hamiltonian at the boundary, we establish the estimate \[u(x+h,t+σ)+u(x-h,t-σ)-2u(x,t)\leq C(|h|+σ)^{\frac{3}{2}}.\] An explicit example shows that the power $3/2$ in this estimate cannot be improved.

24 pages