On Neumann Type Problems for nonlocal Equations set in a half Space

We study Neumann type boundary value problems for nonlocal equations related to Lévy processes. Since these equations are nonlocal, Neumann type problems can be obtained in many ways, depending on the kind of “reflection” we impose on the outside jumps. To focus on the new phenomenas and ideas, we consider different models of reflection and rather general non-symmetric Lévy measures, but only simple linear equations in half-space domains. We derive the Neumann/reflection problems through a truncation procedure on the Lévy measure, and then we develop a viscosity solution theory which includes comparison, existence, and some regularity results. For problems involving fractional Laplacian type operators like e.g. (−∆)α/2, we prove that solutions of all our nonlocal Neumann problems converge as α → 2 to the solution of a classical Neumann problem. The reflection models we consider include cases where the underlying Lévy processes are reflected, projected, and/or censored upon exiting the domain.