AbstractWe investigate regularity and a priori estimates for Fokker–Planck and Hamilton–Jacobi equations with unbounded ingredients driven by the fractional Laplacian of order $$s\in (1/2,1)$$
s
∈
(
1
/
2
,
1
)
. As for Fokker–Planck equations, we establish integrability estimates under a fractional version of the Aronson–Serrin interpolated condition on the velocity field and Bessel regularity when the drift has low Lebesgue integrability with respect to the solution itself. Using these estimates, through the Evans’ nonlinear adjoint method we prove new integral, sup-norm and Hölder estimates for weak and strong solutions to fractional Hamilton–Jacobi equations with unbounded right-hand side and polynomial growth in the gradient. Finally, by means of these latter results, exploiting Calderón–Zygmund-type regularity for linear nonlocal PDEs and fractional Gagliardo–Nirenberg inequalities, we deduce optimal $$L^q$$
L
q
-regularity for fractional Hamilton–Jacobi equations.
A priori estimates of smoothness of solutions to difference Bellman equations with linear and quasi-linear operators