The Dirichlet problem for nonlocal operators with singular kernels: Convex and nonconvex domains

We study the interior regularity of solutions to the Dirichlet problem Lu = g in Omega, u = 0 in R-n\Omega, for anisotropic operators of fractional type Lu(x) = integral(+infinity)(0) dp integral(Sn-1) da(w) 2u(x) - u(x + rho w) - u(x - rho w)/rho(1+2s). Here, a is any measure on Sn-1 (a prototype example for L is given by the sum of one-dimensional fractional Laplacians in fixed, given directions). When a is an element of C-infinity(Sn-1) and g is c(infinity)(Omega), solutions are known to be C-infinity inside Omega (but not up to the boundary). However, when a is a general measure, or even when a is L-infinity(s(n-1)), solutions are only known to be C-3s inside Omega. We prove here that, for general measures a, solutions are C1+3s-epsilon inside Omega for all epsilon > 0 whenever Omega is convex. When a is an element of L-infinity(Sn-1), we show that the same holds in all C-1,C-1 domains. In particular, solutions always possess a classical first derivative. The assumptions on the domain are sharp, since if the domain is not convex and the measure a is singular, we construct an explicit counterexample for which u is not C3s+epsilon for any epsilon > 0 - even if g and Omega are C-infinity.