Harnack's inequality

In mathematics, Harnack's inequality is an inequality relating the values of a positive harmonic function at two points, introduced by A. Harnack (1887). Harnack's inequality is used to prove Harnack's theorem about the convergence of sequences of harmonic functions. J. Serrin (1955), and J. Moser (1961, 1964) generalized Harnack's inequality to solutions of elliptic or parabolic partial differential equations. Such results can be used to show the interior regularity of weak solutions. Perelman's solution of the Poincaré conjecture uses a version of the Harnack inequality, found by R. Hamilton (1993), for the Ricci flow.

The statement

A harmonic function (green) over a disk (blue) is bounded from above by a function (red) that coincides with the harmonic function at the disk center and approaches infinity towards the disk boundary.

Harnack's inequality applies to a non-negative function f defined on a closed ball in Rⁿ with radius R and centre x₀. It states that, if f is continuous on the closed ball and harmonic on its interior, then for every point x with |x − x₀| = r < R,

[math]\displaystyle{ \frac{1-(r/R)} {[1+(r/R)]^{n-1}} f(x_0)\le f(x) \le {1+(r/R)\over [1 - (r/R)]^{n-1}} f(x_0). }[/math]

In the plane R² (n = 2) the inequality can be written:

[math]\displaystyle{ {R-r\over R+r} f(x_0)\le f(x)\le {R+r\over R-r}f(x_0). }[/math]

For general domains [math]\displaystyle{ \Omega }[/math] in [math]\displaystyle{ \mathbf{R}^n }[/math] the inequality can be stated as follows: If [math]\displaystyle{ \omega }[/math] is a bounded domain with [math]\displaystyle{ \bar{\omega} \subset \Omega }[/math], then there is a constant [math]\displaystyle{ C }[/math] such that

[math]\displaystyle{ \sup_{x \in \omega} u(x) \le C \inf_{x \in \omega} u(x) }[/math]

for every twice differentiable, harmonic and nonnegative function [math]\displaystyle{ u(x) }[/math]. The constant [math]\displaystyle{ C }[/math] is independent of [math]\displaystyle{ u }[/math]; it depends only on the domains [math]\displaystyle{ \Omega }[/math] and [math]\displaystyle{ \omega }[/math].

Proof of Harnack's inequality in a ball

By Poisson's formula

[math]\displaystyle{ f(x) = \frac 1 {\omega_{n-1}} \int_{|y-x_0|=R} \frac{R^2 -r^2}{R|x - y|^n} \cdot f(y) \, dy, }[/math]

where ω_{n − 1} is the area of the unit sphere in Rⁿ and r = |x − x₀|.

Since

[math]\displaystyle{ R-r \le |x-y| \le R+r, }[/math]

the kernel in the integrand satisfies

[math]\displaystyle{ \frac{R -r}{R (R+r)^{n-1}} \le \frac{R^2 -r^2}{R|x-y|^n}\le \frac{R+r}{R(R-r)^{n-1}}. }[/math]

Harnack's inequality follows by substituting this inequality in the above integral and using the fact that the average of a harmonic function over a sphere equals its value at the center of the sphere:

[math]\displaystyle{ f(x_0)= \frac 1 {R^{n-1}\omega_{n-1}} \int_{|y-x_0|=R} f(y)\, dy. }[/math]

Elliptic partial differential equations

For elliptic partial differential equations, Harnack's inequality states that the supremum of a positive solution in some connected open region is bounded by some constant times the infimum, possibly with an added term containing a functional norm of the data:

[math]\displaystyle{ \sup u \le C ( \inf u + \|f\|) }[/math]

The constant depends on the ellipticity of the equation and the connected open region.

Parabolic partial differential equations

There is a version of Harnack's inequality for linear parabolic PDEs such as heat equation.

Let [math]\displaystyle{ \mathcal{M} }[/math] be a smooth (bounded) domain in [math]\displaystyle{ \mathbb{R}^n }[/math] and consider the linear elliptic operator

[math]\displaystyle{ \mathcal{L}u=\sum_{i,j=1}^n a_{ij}(t,x)\frac{\partial^2 u}{\partial x_i\,\partial x_j} + \sum_{i=1}^n b_i(t,x)\frac{\partial u}{\partial x_i} + c(t,x)u }[/math]

with smooth and bounded coefficients and a positive definite matrix [math]\displaystyle{ (a_{ij}) }[/math]. Suppose that [math]\displaystyle{ u(t,x)\in C^2((0,T)\times\mathcal{M}) }[/math] is a solution of

[math]\displaystyle{ \frac{\partial u}{\partial t}-\mathcal{L}u=0 }[/math] in [math]\displaystyle{ (0,T)\times\mathcal{M} }[/math]

such that

[math]\displaystyle{ \quad u(t,x)\ge0 \text{ in } (0,T)\times\mathcal{M}. }[/math]

Let [math]\displaystyle{ K }[/math] be compactly contained in [math]\displaystyle{ \mathcal{M} }[/math] and choose [math]\displaystyle{ \tau\in(0,T) }[/math]. Then there exists a constant C > 0 (depending only on K, [math]\displaystyle{ \tau }[/math], [math]\displaystyle{ t-\tau }[/math], and the coefficients of [math]\displaystyle{ \mathcal{L} }[/math]) such that, for each [math]\displaystyle{ t\in(\tau,T) }[/math],

[math]\displaystyle{ \sup_K u(t-\tau,\cdot)\le C \inf_K u(t,\cdot). }[/math]

See also

• Harnack's theorem
• Harmonic function

References

• Caffarelli, Luis A.; Cabré, Xavier (1995), Fully Nonlinear Elliptic Equations, Providence, Rhode Island: American Mathematical Society, pp. 31–41, ISBN 0-8218-0437-5 
• Folland, Gerald B. (1995), Introduction to partial differential equations (2nd ed.), Princeton University Press, ISBN 0-691-04361-2 
• Gilbarg, David; Trudinger, Neil S. (1988), Elliptic Partial Differential Equations of Second Order, Springer, ISBN 3-540-41160-7 
• Hamilton, Richard S. (1993), "The Harnack estimate for the Ricci flow", Journal of Differential Geometry 37 (1): 225–243, doi:10.4310/jdg/1214453430, ISSN 0022-040X 
• Harnack, A. (1887), Die Grundlagen der Theorie des logarithmischen Potentiales und der eindeutigen Potentialfunktion in der Ebene, Leipzig: V. G. Teubner, https://archive.org/details/vorlesunganwend00weierich 
• John, Fritz (1982), Partial differential equations, Applied Mathematical Sciences, 1 (4th ed.), Springer-Verlag, ISBN 0-387-90609-6, https://archive.org/details/partialdifferent00john_0 
• Hazewinkel, Michiel, ed. (2001), "Harnack theorem", Encyclopedia of Mathematics, Springer Science+Business Media B.V. / Kluwer Academic Publishers, ISBN 978-1-55608-010-4, https://www.encyclopediaofmath.org/index.php?title=Main_Page 
• Kassmann, Moritz (2007), "Harnack Inequalities: An Introduction" Boundary Value Problems 2007:081415, doi: 10.1155/2007/81415, MR 2291922
• Moser, Jürgen (1961), "On Harnack's theorem for elliptic differential equations", Communications on Pure and Applied Mathematics 14 (3): 577–591, doi:10.1002/cpa.3160140329 
• Moser, Jürgen (1964), "A Harnack inequality for parabolic differential equations", Communications on Pure and Applied Mathematics 17 (1): 101–134, doi:10.1002/cpa.3160170106 
• Serrin, James (1955), "On the Harnack inequality for linear elliptic equations", Journal d'Analyse Mathématique 4 (1): 292–308, doi:10.1007/BF02787725 
• L. C. Evans (1998), Partial differential equations. American Mathematical Society, USA. For elliptic PDEs see Theorem 5, p. 334 and for parabolic PDEs see Theorem 10, p. 370.