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Proof of A Convex Combination of a Viscosity Subsolution and a Classical Subsolution is a Viscosity Subsolution, for an Operator Convex in the Value, Gradient and Matrix Variables

lemmalem:convex-combination-subsolution-euclidean-2026a
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If psi touches (1-t)u+t phi from above, then (psi - t phi)/(1-t) touches u from above; convexity of the operator combines the viscosity inequality for u with the classical inequality for phi.

Proof

Each result cited is universally quantified over the data in its own statement. Write uΛ‰=(1βˆ’t)u+tΟ†\bar u=(1-t)u+t\varphi and Οƒ=1βˆ’t\sigma=1-t. Since t<1t<1, Οƒ\sigma is positive by claim 1 of Elementary Order Arithmetic in an Ordered Field, so Οƒβˆ’1\sigma^{-1} exists and is positive by claim 7 there; and 0≀t0\le t.

Upper semicontinuity. uu is upper semicontinuous on UU by Viscosity Subsolution and Supersolution of a Second-Order Equation. The function Ο†\varphi is of class C2C^{2} on UU by Classical Subsolution and Supersolution of a Second-Order Equation, hence continuous at every point of UU relative to UU by claim 3 of Euclidean Space is Open in Itself, and CkC^k Maps are Continuous, and a continuous function is upper semicontinuous directly from Upper Semicontinuous Function on a Subset of a Metric Space (if βˆ£Ο†(y)βˆ’Ο†(x)∣<Ξ΅|\varphi(y)-\varphi(x)|<\varepsilon then Ο†(y)<Ο†(x)+Ξ΅\varphi(y)<\varphi(x)+\varepsilon by claim 3 of Properties of the Absolute Value in an Ordered Field). By claims 2 and 1 of Sums and Nonnegative Multiples of Semicontinuous Functions, with the nonnegative multipliers Οƒ\sigma and tt, uΛ‰\bar u is upper semicontinuous on UU.

The test. Let ψ:Uβ†’R\psi:U\to\mathbb{R} be of class C2C^{2} on UU and let x0∈Ux_{0}\in U be a point at which uΛ‰βˆ’Οˆ\bar u-\psi has a local maximum relative to UU, with radius ρ\rho: uΛ‰(y)βˆ’Οˆ(y)≀uΛ‰(x0)βˆ’Οˆ(x0)\bar u(y)-\psi(y)\le\bar u(x_{0})-\psi(x_{0}) for every y∈Uy\in U with dE(x0,y)<ρd_{E}(x_{0},y)<\rho. Define ψ0:Uβ†’R\psi_{0}:U\to\mathbb{R} by

ψ0(y)=Οƒβˆ’1(ψ(y)βˆ’tΟ†(y)),\psi_{0}(y)=\sigma^{-1}\bigl(\psi(y)-t\varphi(y)\bigr),

which is of class C2C^{2} on UU by claim 3 of Constants, Coordinate Functions, Sums and Products of CkC^k Functions on a Euclidean Open Set. By claim 1 of Constants, Coordinate Functions, Sums and Products of CkC^k Functions on a Euclidean Open Set, applied to first and then to second partial derivatives,

Dψ0(x0)=Οƒβˆ’1(Dψ(x0)βˆ’tDΟ†(x0)),D2ψ0(x0)=Οƒβˆ’1(D2ψ(x0)βˆ’tD2Ο†(x0)).D\psi_{0}(x_{0})=\sigma^{-1}\bigl(D\psi(x_{0})-tD\varphi(x_{0})\bigr),\qquad D^{2}\psi_{0}(x_{0})=\sigma^{-1}\bigl(D^{2}\psi(x_{0})-tD^{2}\varphi(x_{0})\bigr).

For every y∈Uy\in U, the field axioms give u(y)βˆ’Οˆ0(y)=Οƒβˆ’1(Οƒu(y)+tΟ†(y)βˆ’Οˆ(y))=Οƒβˆ’1(uΛ‰(y)βˆ’Οˆ(y))u(y)-\psi_{0}(y)=\sigma^{-1}\bigl(\sigma u(y)+t\varphi(y)-\psi(y)\bigr)=\sigma^{-1}\bigl(\bar u(y)-\psi(y)\bigr). Multiplying the local-maximum inequality by the positive Οƒβˆ’1\sigma^{-1} (claim 5 of Elementary Arithmetic in an Ordered Field) shows that uβˆ’Οˆ0u-\psi_{0} has a local maximum at x0x_{0} relative to UU, with the same radius ρ\rho. Since uu is a viscosity subsolution of FF on UU,

F(x0,u(x0),Dψ0(x0),D2ψ0(x0))≀0,(1)F\bigl(x_{0},u(x_{0}),D\psi_{0}(x_{0}),D^{2}\psi_{0}(x_{0})\bigr)\le0, \tag{1}

and since Ο†\varphi is a classical subsolution of FF on UU,

F(x0,Ο†(x0),DΟ†(x0),D2Ο†(x0))≀0.(2)F\bigl(x_{0},\varphi(x_{0}),D\varphi(x_{0}),D^{2}\varphi(x_{0})\bigr)\le0. \tag{2}

Convexity. In Rn\mathbb{R}^{n} and in S(n)\mathcal{S}(n) (Second-Order Equations on Euclidean Open Sets Β§matrices) the vector-space axioms give

ΟƒDψ0(x0)+tDΟ†(x0)=Dψ(x0),ΟƒD2ψ0(x0)+tD2Ο†(x0)=D2ψ(x0),\sigma D\psi_{0}(x_{0})+tD\varphi(x_{0})=D\psi(x_{0}),\qquad \sigma D^{2}\psi_{0}(x_{0})+tD^{2}\varphi(x_{0})=D^{2}\psi(x_{0}),

and Οƒu(x0)+tΟ†(x0)=uΛ‰(x0)\sigma u(x_{0})+t\varphi(x_{0})=\bar u(x_{0}). Hence the convexity of FF in (r,p,X)(r,p,X), applied at x0x_{0} to the triples (u(x0),Dψ0(x0),D2ψ0(x0))(u(x_{0}),D\psi_{0}(x_{0}),D^{2}\psi_{0}(x_{0})) and (Ο†(x0),DΟ†(x0),D2Ο†(x0))(\varphi(x_{0}),D\varphi(x_{0}),D^{2}\varphi(x_{0})) with weight tt, gives

F(x0,uΛ‰(x0),Dψ(x0),D2ψ(x0))≀σF(x0,u(x0),Dψ0(x0),D2ψ0(x0))+tF(x0,Ο†(x0),DΟ†(x0),D2Ο†(x0)).F\bigl(x_{0},\bar u(x_{0}),D\psi(x_{0}),D^{2}\psi(x_{0})\bigr)\le\sigma F\bigl(x_{0},u(x_{0}),D\psi_{0}(x_{0}),D^{2}\psi_{0}(x_{0})\bigr)+tF\bigl(x_{0},\varphi(x_{0}),D\varphi(x_{0}),D^{2}\varphi(x_{0})\bigr).

Multiplying (1) by Οƒβ‰₯0\sigma\ge0 and (2) by tβ‰₯0t\ge0 (claim 5 of Elementary Arithmetic in an Ordered Field) shows that both summands on the right are at most 00, so their sum is at most 00 by claim 2 of Elementary Arithmetic in an Ordered Field applied to their additive inverses. Hence F(x0,uΛ‰(x0),Dψ(x0),D2ψ(x0))≀0F(x_{0},\bar u(x_{0}),D\psi(x_{0}),D^{2}\psi(x_{0}))\le0. As ψ\psi and x0x_{0} were arbitrary, uΛ‰\bar u is a viscosity subsolution of FF on UU.

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