Existence of solutions to the Hamilton-Jacobi-Bellman equation under quadratic growth conditions (Q5955603)

In this paper, the existence of solutions to the Hamilton-Jacobi-Bellman equation of the form \[ V_t=H(x,V_x)+\varepsilon tr a(x)V_{xx} \] and \[ \lambda=H(x,V_x)+\varepsilon tr a(x)V_{xx}, \] where the Hamiltonian is given by \[ H(x,p)=g(x)\cdot p+h(\sigma(x)^tp)+\ell(x),\;\text{for }p\in \mathbb{R}^n \] and has the quadratic growth both in \(x\) and \(p\), is established in three steps. The explicit Lipschitz bound of solutions in the weighted sup-norm is obtained and also, the vanishing viscosity limit of solutions is discussed and the existence of viscosity solutions to the resulting Hamilton-Jacobi equation is showed.