The Dirichlet problem for the Bellman equation at resonance

Abstract

We generalize the Donsker-Varadhan minimax formula for the principal eigenvalue of a uniformly elliptic operator in nondivergence form to the first principal half-eigenvalue of a fully nonlinear operator which is concave (or convex) and positively homogeneous. Examples of such operators include the Hamilon-Jacobi-Bellman operator and the Pucci extremal operators. In the case that the two principal half-eigenvalues are not equal, we show that the measures which achieve the minimum in this formula provide a partial characterization of the solvability of the corresponding Dirichlet problem at resonance.