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

We study the interior regularity of solutions to a Dirichlet problem for anisotropic operators of fractional type. A prototype example is given by the sum of one-dimensional fractional Laplacians in fixed, given directions. We prove here that an interior differentiable regularity theory holds in convex domains. When the spectral measure is a bounded function and the domain is smooth, the same regularity theory applies. 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 spectral measure is singular, we construct an explicit counterexample.