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to Variational
Inequalities and
An Introduction

Their Applica tions

9

a
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P 9
An Introduction
to Variational
Inequalities and
Their Applications

David Kinderlehrer

Guido Stampacchia

nhII
Society for Industrial and Applied Mathematics
Philadelphia
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Copyright © 2000 by the Society for Industrial and Applied Mathematics.

This SIAM edition is an unabridged republication of the work first published

by Academic Press, New York and London, 1980.

10987654321

All rights reserved. Printed in the United States of America. No part of this
book may be reproduced, stored, or transmitted in any manner without the written
permission of the publisher. For information, write to the Society for Industrial
and Applied Mathematics, 3600 University City Science Center, Philadelphia,
PA 19104-2688.

Library of Congress Cataloging-in-Publication Data

Kinderlehrer, David.
An introduction to variational inequalities and their applications / David
Kinderlehrer, Guido Stampacchia.
p. cm. — (Classics in applied mathematics ; 31)
Originally published : New York: Academic Press, 1980.
Includes bibliographical references and index.
ISBN 0-89871-466-4 (pbk.)
1. Variational inequalities (Mathematics) I. Stampacchia, Guido. II. Title.
III. Series.

QA316.K55 2000
515'.64 — dc2l
00-033845

S.L2JTL is a registered trademark.

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Questo volume è dedicato alla memoria

del nostro diletto amico e collega
Nestor Riviere
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Contents

Preface to the Classics Edition xiii

Preface xvii
Glossary of Notations xix

Introduction

Chapter I Variational Inequalities in l

1. Fixed Points 7
2. The Characterization of the Projection onto a Convex Set 8
3. A First Theorem about Variational Inequalities 11
4. Variational Inequalities 13
5. Some Problems Which Lead to Variational Inequalities 15
Comments and Bibliographical Notes 18
Exercises 18

Chapter II Variational Inequalities in Hilbert Space

1. Bilinear Forms 23
2. Existence of a Solution 24
3. Truncation 27
4. Sobolev Spaces and Boundary Value Problems 28
5. The Weak Maximum Principle 35
6. The Obstacle Problem: First Properties 40
7. The Obstacle Problem in the One Dimensional Case 47
Appendix A. Sobolev Spaces 49
Appendix B. Solutions to Equations with Bounded
Measurable Coefficients 62

ix
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X CONTENTS

Appendix C. Local Estimates of Solutions 66

Appendix D. Holder Continuity of the Solutions 72
Comments and Bibliographical Notes 76
Exercises 77

Chapter III Variational Inequalities for Monotone Operators

1. An Abstract Existence Theorem 83
2. Noncoercive Operators 87
3. Semilinear Equations 93
4. Quasi-Linear Operators 94
Comments and Bibliographical Notes 100
Exercises 101

Chapter IV Problems of Regularity

1. Penalization 105
2. Dirichlet Integral 106
3. Coercive Vector Fields 113
4. Locally Coercive Vector Fields 116
5. Another Penalization 120
6. Limitation of Second Derivatives 124
7. Bounded Variation of Au 130
8. Lipschitz Obstacles 134
9. A Variational Inequality with Mixed Boundary Conditions 139
Appendix A. Proof of Theorem 3.3 143
Comments and Bibliographical Notes 146
Exercises 147

Chapter V Free Boundary Problems and the Coincidence Set

of the Solution
1. Introduction 149
2. The Hodograph and Legendre Transformations 153
3. The Free Boundary in Two Dimensions 155
4. A Remark about Singularities 166
5. The Obstacle Problem for a Minimal Surface 167
6. The Topology of the Coincidence Set When the Obstacle
Is Concave 173
7. A Remark about the Coincidence Set in Higher Dimensions 178
Comments and Bibliographical Notes 181
Exercises 182

Chapter VI Free Boundary Problems Governed by Elliptic

Equations and Systems
1. Introduction 184
2. Hodograph and Legendre Transforms: The Theory
of a Single Equation 185
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CONTENTS Xi

3. Elliptic Systems 190

4. A Reflection Problem 202
5. Elliptic Equations Sharing Cauchy Data 204
6. A Problem of Two Membranes 212
Comments and Bibliographical Notes 218
Exercises 218

Chapter VII Applications of Variational Inequalities

1. Introduction 222
2. A Problem in the Theory of Lubrication 223
3. The Filtration of a Liquid through a Porous Medium 227
4. The Resolution of the Filtration Problem by Variational
Inequalities 235
5. The Filtration of a Liquid through a Porous Medium
with Variable Cross Section 242
6. The Resolution of the Filtration Problem in Three
Dimensions 249
7. Flow past a Given Profile: The Problem
in the Physical Plane 257
8. Flow past a Given Profile: Resolution by Variational
Inequalities 260
9. The Deflection of a Simply Supported Beam 270
Comments and Bibliographical Notes 273
Exercises 274

Chapter VIII A One Phase Stefan Problem

1. Introduction 278
2. Existence and Uniqueness of the Solution 281
3. Smoothness Properties of the Solution 289
4. The Legendre Transform 297
Comments and Bibliographical Notes 299

Bibliography 300

Index 309
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Preface to the Classics Edition

With the enormous range of topics and vast literature now connected with
variational inequalities, the subject has become part of the standard material
taught in partial differential equations. With this objective in mind, I am
extremely grateful to SIAM for the opportunity to maintain the availability
of this volume, for the curious and aficionado alike.
Current technology enables anyone to review the present status of the
literature, so I would just like to briefly note a few of the exciting new areas
where our subject has found a home. The references below are just brief
indications.
• Finance
The American put option, after a change of variables, becomes a one
phase Stefan problem. More generally, any derivative security problem
where there is an early exercise feature involves a free boundary problem
[ 10].
• Phase transformations
The Allen—Cahn equation, one of the models of the kinetics of grain growth
in polycrystals, has been treated as a parabolic variational inequality [2]. For
a treatment of superconducting vortices see [4], [13].
• Systems and contact problems
Static contact problems, frictional contact problems, and questions relat-
ed to thermal expansion may be considered as variational inequalities,
often for systems, or as generalizations of them [9], [11], [14].
A variational inequality, technically speaking, is a variational problem or
an evolution problem with a convex constraint. Since the set where the
constraint is active is not known beforehand, a free boundary problem often
arises and, indeed, variational inequalities are inextricably bound to free

xiii
 Xlv
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PREFACE TO THE CLASSICS EDITION

boundary problems. So the reader is encouraged to seek information about

free boundary problems as part of his research activity, e.g., [3].
There are also a number of new books since this volume originally
appeared, e.g., [5], [6], [7], [8], [12].
Guido Stampacchia was a legendary mentor and teacher. He was also an
exquisite author and lecturer who succeeded in unifying elegance and clarity,
aspects of his science seriously degraded by his collaboration with the
undersigned. The Opere Scelte of Guido Stampacchia have been published in
two volumes by Edizioni Cremonese (1996, 1997) with an introduction by
Louis Nirenberg and reprints of the appreciations of Stampacchia's work by
Jacques-Louis Lions and Enrico Magenes that originally appeared in the
Bolletino della Unione Matematica Italiana 15 (1978), 715-756. I strongly
recommend consulting the original papers.
Steven Shreve and Vanessa Styles provided valuable assistance with the
references. As always, I am indebted to Sara Stampacchia Naldini and to
Mauro Stampacchia for their collaboration and to Haïm Brezis for his
encouragement and support.

David Kinderlehrer

REFERENCES

[1] Baiocchi, C. and Capelo, A. Variational and Quasivariational

Inequalities, (Jayakar, L. trans.), John Wiley and Sons, New York, 1984.
[2] Blowey, J. F. and Elliott, C. M. Curvature dependent phase
boundary motion and parabolic obstacle problems, Proc. IMA Workshop
on Degenerate Diffusion, Vol. 47, W. Ni, L. Peletier, and J. L. Vasquez,
eds., Springer- Verlag, Berlin, 1993, 19-60.
[3] Caffarelli, L. A. The obstacle problem revisited, J. Fourier Anal.
Appl. 4 (1998), 3 83-402.
[4] Chapman, S. J. A mean-field model of superconducting vortices in
three dimensions, SIAM J. Appl. Math. 55 (1995), 1252-1274.
[5] Chipot, M. Variational Inequalities and Flow through Porous Media,
Appl. Math. Sci., Vol. 52, Springer- Verlag, New York, 1984.
[6] Chipot, M. On Some Issues of Nonlinear Analysis, Birkhauser, Basel,
2000.
[7] Elliott, C. M. and Ockendon, J. R. Weak and Variational Methods
for Moving Boundary Problems, Research Notes in Mathematics, Vol. 59,
Pitman (Advanced Publishing Program), Boston, MA, 1982.
 PREFACE TO THE CLASSICS EDITION xV
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[8] Friedman, A. Variational Principles and Free-Boundary Problems,

Wiley- Interscience, New York, 1982.
[9] Gwinner, J. and Stephan, E. P. A boundary element procedure for
contact problems in plane linear elastostatics, RAIRO Modél. Math. Anal.
Numér. 27 (1993), 457-480.
[10] Karatzas, I. and Shreve, S. E. Methods of Mathematical Finance,
Springer- Verlag, New York, 1998.
[11]Kinderlehrer, D. Remarks on Signorini's problem in elasticity,
Annali della S.N.S. Pisa 8 (1981), 605-645.
[12] Rodrigues, J.-F. Obstacle Problems in Mathematical Physics,
North-Holland, Amsterdam, 1987.
[13] Schâtzle, R. and Styles, V. Analysis of a mean field model of
superconducting vortices, European J. Appl. Math. 10 (1999), 319-352.
[14] Shillor, M. (ed). Recent Advances in Contact Mechanics, Comput.
Modelling, Vol. 28, Pergamon Press, Exeter, 1998.
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Preface

The rapid development of the theory of variational inequalities and the

prolific growth of its applications made evident to us the need of an
introduction to the field. This is our response; we hope that it will be found
useful and enlightening. We drew an outline of our enterprise in July of 1976,
confident that it would be completed by August or, perhaps, September. Our
conception of the necessary labor was optimistic; nonetheless, the finished
book follows the original plan.
Many of the chapters have been adapted from courses we gave at the
Scuola Normale Superiore, the University of Minnesota, the University of
Paris, the Collège de France, the Mittag-Leffler Institut, and Northwestern
University. A few suggestions about the use of this book in courses are
discussed in the introduction.
The life and work of the late Guido Stampacchia are discussed by Jacques
Louis Lions and Enrico Magenes in the Bollettino della Unione Matematica
Italiana 15 (1978), 715-756.
I wish to express my profound indebtedness to our many friends and
collaborators who so generously assisted us during these years. Most
important, without the nurturing and encouragement of Mrs. Sara
Stampacchia, it would not have been possible for us to conceive this project
nor for me to bring it to its completion.
In addition, I would like to thank especially Haim Brezis for his many
useful suggestions and his constant interest in our progress. Silvia Mazzone,

xvii
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xviii PREFACE

Michael Crandall, and David Schaeffer offered useful contributions and

assistance in various stages of the writing, all of which are sincerely
appreciated. Finally, I would like to thank Matania Ben Artzi and Bevan
Thompson for their careful reading of portions of the material.

Ronchi and Minneapolis

1976-1979
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Glossary of Notations

Common Notations

US NEuclidean N- dimensional space, the product of N copies of the real

line O
C Ncomplex N -dimensional space, the product of N copies of the com-
plex numbers C
x = (x 1 , ... , X N ), y = (y,... , y N ), etc. coordinates in J N
xy = x 1 y 1 + • • • + XNYN = x • y = (x, y) scalar product in R N
2
I x l= (^ i x?)" length of x E (^ N
B,(x) the open ball of radius r and center x ER N
S2 an open, generally bounded and connected, subset of IN N
a(I the boundary of S2
D = S2 v f9 2
0
the closure of Q
int U = U the interior of U
supp u the support of the function u, which is the smallest closed set out-
side of which u = 0
au/3x partial derivative of u with respect to x j , also u i ., a ; u, or u ;
u, = grad u = (u x 1 , ... , u x ^)
a = (a l , ... , a„), a ; > 0 integers, a multi-index of length laI =
aa'aaNf' u
a___
u axa1.. . ax
1 N

aexcept in Chapter VI where D"u = (— i )I"i axa,ax'IN

l1 aN
uJ
1 N

dx = dx 1 ... dx NLebesgue measure on R N

a
A = ^i 2 /ax; Laplace operator or Laplacian
xix
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XX GLOSSARY OF NOTATIONS

<.,.> a pairing between a (real) Banach space V and its dual V';
<•, •>:V' x V—► R

D. = D=, (in Chapter VI only)

a.b ; = j" 1 a ; b isummation convention: repeated indices are

= EN j=1 a j; ^ j q ;summed over their ranges, which are usually
1<_i,j<N.

Function Spaces

C(S2)(C(S2)) the functions continuous in 12(52)

Cm(SZ)(Cm• A (S2)) the functions m times continuously differentiable in 12
(whose mth derivatives satisfy a Holder condition with
exponent )) cf. Chapter II, Section 4
Cm(S2)(Cm• A (S2)) the functions of Cm(f ), each of which is m times con-
tinuously differentiable in some neighborhood of S2
(and whose mth derivatives satisfy a Holder condition
with exponent .)
Ls(Q) the Lebesgue measurable functions u of 12 for which
Ii. l/s

IluIIcacn ► = ( f Iui s dx) <x (1 < s < co)

\ n

L(S1) the Lebesgue measurable functions u of S2 which are essentially

bounded,
IJUIJLm (n) = inf{M: lul < M a.e. in S2}
Hm S(S2), Hó• 5 (8), Hm(fl), Hó(1), H - m(S2)Sobolev spaces, see Chapter II,
Section 4
H; (2) functions in H'(11') for each bounded S2' c S2 whose closure

2'([1) distributions defined on 12

L 2 (0, T: H(0, R)) see Chapter VIII, Section 1
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Introduction

In this work we intend to present the elements of variational inequalities

and free boundary problems with several enticing examples of their ap-
plication. It is a textbook, and, moreover, we have attempted to draw a
broad audience by writing the first few sections of each chapter in a manner
accessible to any informed reader including economists, engineers, and our
other scientific colleagues.
Offered here is a view of the variational inequality problems and methods
that have evolved in recent years. Their comprehension will bring the reader
to the level of research in much of the subject. Our perspective will have its
strongest appeal to the reader acquainted with partial differential equations.
Indeed, one of our aims is to motivate the study of this subject too. A descrip-
tion of prerequisites and a few suggestions about the use of this book as a
textbook are given at the end of the introduction.
We now offer some description, however rudimentary, of the nature of a
variational inequality and the free boundary problem it suggests. We also
outline our contents. Without attempting to formulate any precise de-
finitions, let us discuss several examples.

Example 1. Let f be a smooth real valued function on the closed interval

I = [a, b]. We seek the points x 0 E I for which
f (x o ) = min f (x).
x€I
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2 INTRODUCTION

Three cases can occur:

(i) if a < x 0 < b, then f'(x o ) = 0;
(ii) if x 0 = a, then f'(x o ) >_ 0; and
(iii) if x 0 = b, then f'(x o ) < 0.
These statements may be summarized by writing
f'(x o xx — x 0 ) > 0 for all x E•1.
Such an inequality will be referred to as a variational inequality.

Example 2. Let f be a smooth real valued function defined on the closed

convex set K of Euclidean N dimensional space I1"• Again we shall character-
ize the points x 0 e K such that
f(x0 ) = min f (x).
XE^Q

Assume x 0 is a point where the minimum is achieved and let x e K. Since K

is convex, the segment (1 — t)x o + tx = x 0 + t(x — x 0 ), 0 < t < 1, lies in K.
The function
t(t) = f (x 0 + t(x — x 0 )), 0 < t < 1,

attains its minimum at t = 0; so, as in Example 1,

1'(0) = grad f (x o )(x — x 0 ) >— 0 for any x E K.
Consequently, the point x 0 satisfies the variational inequality
x o e III : grad f (x 0 )(x — x 0 ) > 0 for all x e K.
If K is bounded, the existence of at least one x 0 is immediate.

Example 3. Let S c III" be a bounded domain with boundary 8 and

let ' be a given function on f) = f2 u 31 satisfying
max 'fr >_ 0 and 'Ii < 0 on OQ.
n
Define
K = {vEC'(S2):v> i/i inS2
and v= 0onOf)),

a convex set of functions which we assume is not empty. We seek a function

u e K for which

J grad u1 2 dx = min
5 grad 1,12 dx.
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INTRODUCTION 3

Assuming such a u to exist, we argue analogously to our previous example

relying again on the convexity of K. For any v e K, the sequence u + t(v — u)
E K, 0 < t < 1, whence the function

= 0 < t < 1,
J grad(u + t(v —
I(t) u))1 2 dx,

attains its minimum at t = 0. This implies that 1'(0) >_ 0, which leads to the
variational inequality

u E III :L grad u grad(v — u) dx > 0 for all 11 E III.

Intervening here is the point set

I = { X E S2 : U(x) =
which is called the set of coincidence. Its presence distinguishes u from the
solution of a boundary value problem.
One interprets u as the height function of the equilibrium position of a
thin membrane constrained to lie above the body {(x, XN+ 1) : XN+ 15 s(x),
x E S2} and with fixed height zero on 3Q.

Example 4. With Sl a bounded open set as before, let cp ',q 2 , 2, 2 2 f , and ,

f2 be suitably smooth functions in S2 with (p' < cp 2 . Define the convex set of
pairs of functions
K = { 11 = ( v', v 2 ) : v' < v z in 0, v` = cp on BSA, v` E C'(fl), i = 1, 2 }.
We search for the solution u e K of

{grad u' grad(v` — u`) + A i u'(v' — u`)} dx

n

>_ Y
$JXv ` — u`) dx for all v E K.
i n
In this case u is a point of K where the functional

F(v) = 12 1 J { I grad
i n
v112 + 2(v) 2 } dx — Y
i n
J ivi dx

attains a minimum.
The solution pair u = (u', u 2 represents the equilibrium position of two
)

membranes subject to applied forces constrained by not being able to pass

through each other. In this case the coincidence set is
I = {x E S2 : u'(x) = u2(x)}.
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4 INTRODUCTION

Example 5. With Q and (I' as in Example 3, we ask for the element u e III
of least area, namely,

f /i + I grad u 1
Z
\ 2 dx = min jTaI 2 d x .
V eR 2

The associated variational inequality is

uEK: J(' grad u grad(v — u) dx >_0 for all vEK.

n 1+Jgrad u1 2
Among the examples considered, the first two may be solved by means of
calculus for they depend on a finite number of variables. The other examples
are similar to problems of the calculus of variations since the competing
functions lie in an infinite dimensional space.
As usual in the study of calculus of variations, a problem formulated in a
naive class of admissible functions need not admit a solution in that class. It
is now well known that this difficulty may be overcome by broadening the
class of competing functions to a suitable subset of a Sobolev space or of a
more general space of distributions. In this context, the existence of solutions
of Examples 3 and 4 may be demonstrated easily, in essence from the prop-
erties of the projection operator of a closed convex set in a Hilbert space. At
first glance, Example 5 is more complicated since it suggests consideration of
a Banach space which is not reflexive. An alternative approach will be to
establish suitable a priori estimates.
The general problem of the existence of solutions is treated in the first three
chapters. The first chapter is devoted to variational inequalities in IAN and
the related topic of fixed points of mappings. Chapter II concerns variational
inequalities in Hilbert space, covering problems like Examples 3 and 4. The
material in its appendices includes basic properties of Sobolev spaces and a
self-contained proof of the regularity of solutions of second order equations
with bounded measurable coefficients. More general existence theorems are
considered in Chapter III.
Having weakened the notion of solution, we are now led to problems of
regularity, which is the exploration of the smoothness of the solution. It is
worthwhile emphasizing that this question for variational inequalities differs
from its analog in the theory of boundary value problems. In the latter, the
smoother one assumes the data, the smoother, in general, the solution is
found to be. In our situation, however, the constraints defining the convex set
may impede the regularity of the solution, permitting it a certain amount of
smoothness which cannot be surpassed regardless of the smoothness of the
data.
A typical example of this situation is the "obstacle problem," Example 3.
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INTRODUCTION

In this case, the smoothness of i i notwithstanding, we are able to conclude

only that the first derivatives of u are continuous and the second derivatives of
u are bounded but not continuous. This limitation is evident even in one
dimension. The investigation of these properties is the subject of Chapter IV.
So the presence of the obstacle is reflected in the limited regularity of the
solution and, as we noted in Example 3, the presence of the coincidence set
I. Now I is determined by the variational condition of Example 3, so it is not
arbitrary. In fact, we shall observe that u is the solution of the Laplace equa-
tion with given Cauchy data on 81, the boundary of I. This suggests that 81
itself should possess some additional properties. It is called a "free boundary."
The aspects of this topic especially relevant in two independent variables are
discussed in Chapter V. For example, it is shown there that if fl is convex and
Ii is analytic and strictly concave, then al is an analytic Jordan curve.
More general free boundary problems for arbitrary dimension are
analyzed in Chapter VI. Here we introduce hodograph, or partial hodograph,
transformations which permit straightening the free boundary but necessitate
the study of highly nonlinear equations. For certain questions such a theory
remains inadequate. Indeed, to resolve Example 4 we are led to the investiga-
tion of an elliptic system whose unknowns are defined on different sides of
the free boundary. We describe this situation as well as introduce the theory
of elliptic equations and systems with coercive boundary conditions. Among
the many subjects which may be studied in this framework are plasma con-
finement and elliptic equations which share Cauchy data on a given hyper-
surface.
The remainder of the book, Chapters VII and VIII, is devoted to ap-
plications of variational inequalities in problems of engineering and physics.
These include the lubrication of a journal bearing, the filtration of a liquid
through a porous medium, and the motion of a fluid past a given profile.
Filtration is considered also in its three dimensional form, thus providing
the basis for the analysis of a free boundary in higher dimensions. In Chapter
VIII we discuss the Stefan problem.
Frequent reference is made to results in partial differential equations and
other fields of analysis. Items which we have found appropriate to include in
the text are listed in the table of contents. They comprise Section 4 and the
appendices of Chapter II, the appendix of Chapter IV, Section 3 of Chapter
VI, and others. Certain facts, on the other hand, we believe to be readily
accessible even to the reader who is not expert in differential equations. These
we merely cite as known or state without proof. They include such items as
the classical maximum principle, the Hopf boundary point lemma, and the
Calderon-Zygmund inequalities. Among the references we have found
convenient for this material are Courant and Hilbert [1], "Methods of
Mathematical Physics," Vol. II, and Bers et al. [1], "Partial Differential
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INTRODUCTION

Equations." More extensive treatments are found in the books of Morrey [1]
and Lions and Magenes [1] cited in the bibliography. In particular, such
treatises or the literature are of avail when we require the conclusions of the
elliptic regularity theory. We regret that we are unable to give a complete
exposition of this material.
The reader is not presumed to have any prior knowledge of variational
inequalities. This is an opportune place to mention a few of the papers and
books which have appeared in recent years which the reader may wish to
consult for collateral or historical information: Baiocchi [2, 3, 4], Baiocchi
and Capelo [1], Brezis [1, 3], Kinderlehrer [5], Lions [1], Lions and Duvaut
[1], Magenes [1], and Stampacchia [3, 4, 5]. In the bibliography there are
additional references.
It has been our experience that a one-quarter course may be based on
Chapters I, II, the first part of Chapter III, and the first part of Chapter IV.
We have often found it useful to include the first appendix of Chapter II. A
course which also serves as an introduction to elliptic equations with bounded
measurable coefficients might also include Appendices B, C, and D of Chapter
II. Additional material may then be drawn from Chapters V and VI if
interest is toward free boundary problems, or from Chapter VII if applications
are the principal emphasis.