Viscosity Supersolution Barriers to a Non-local Free Boundary Problem

We study a parabolic obstacle partial integro-differential equation (PIDE) with a dynamically moving bilateral free boundary. This type of problem arises in the mathematical modeling of speculative asset bubbles with Lévy jump processes. We consider the existence of viscosity supersolutions within the class of functions exhibiting linear asymptotic growth ($O(\mathrm{\mid }g\mathrm{\mid })$ at infinity) across three distinct parametric regimes. Our intention is to determine when such a supersolution barrier can be built by analyzing the balance between the stabilizing local drift, defined by the discount rate $r$ and mean-reversion $\rho$, and the non-local jump dispersion, characterized by the large-jump intensity $\lambda$ and Lipschitz constant $L_{\gamma }$. First, when $r+\rho >\sqrt{\lambda }{L}_{\gamma }$, we prove the global existence of non-negative viscosity supersolutions. Second, in the deficit regime ($r+\rho <\sqrt{\lambda }{L}_{\gamma }$), we prove existence on finite horizons and derive a critical horizon threshold $T_{\mathrm{c}\mathrm{r}\mathrm{i}\mathrm{t}}$. Utilizing an asymptotic slope envelope, we prove that no non-negative linear-growth supersolution can exist beyond $T_{\mathrm{c}\mathrm{r}\mathrm{i}\mathrm{t}}$. Finally, at the exact critical boundary ($r+\rho =\sqrt{\lambda }{L}_{\gamma }$), we show global existence by constructing a smooth supersolution, provided an additional spatial no-crossing condition holds.