An eigenvalue problem for fully nonlinear elliptic equations with gradient constraints

Abstract

We consider the problem of finding $\lambda\in \mathbb{R}$ and a function $u:\mathbb{R}^n\rightarrow\mathbb{R}$ that satisfy the PDE $$ \max\left\{\lambda + F(D^2u) -f(x),H(Du)\right\}=0, \quad x\in \mathbb{R}^n. $$ Here $F$ is elliptic, positively homogeneous and superadditive, $f$ is convex and superlinear, and $H$ is typically assumed to be convex. Examples of this type of PDE arise in the theory of singular ergodic control. We show that there is a unique $\lambda^*$ for which the above equation has a solution $u$ with appropriate growth as $|x|\rightarrow \infty$. Moreover, associated to $\lambda^*$ is a convex solution $u^*$ that has bounded second derivatives, provided $F$ is uniformly elliptic and $H$ is uniformly convex. It is unknown whether or not $u^*$ is unique up to an additive constant; however, we verify this is the case when $n=1$ or when $F, f,H$ are "rotational."