Existence and compactness for weak solutions to Bellman systems with critical growth

Alain Bensoussan; Miroslav Bulíček; Jens Frehse

doi:10.3934/dcdsb.2012.17.1729

Article Contents

2012, Volume 17, Issue 6: 1729-1750. Doi: 10.3934/dcdsb.2012.17.1729

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Existence and compactness for weak solutions to Bellman systems with critical growth

1.
Ashbel Smith Professor, The University of Texas at Dallas, Chair Professor of Risk and Decision Analysis, The Hong Kong Polytechnic University, WCU Distinguished Professor, Ajou University, 800 W. Campbell Rd, SM30, Richardson,TX 75080-3021
2.
Mathematical Institute, Faculty of Mathematics and Physics, Charles University in Prague, Sokolovská 83, 186 75 Praha 8
3.
Institute for Applied Mathematics, Department of Applied Analysis, University of Bonn, Endenicher Allee 60, 53115 Bonn

Received: April 30, 2011

Revised: July 31, 2011

Published: August 2012

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Abstract

We deal with nonlinear elliptic and parabolic systems that are the Bellman systems associated to stochastic differential games as a main motivation. We establish the existence of weak solutions in any dimension for an arbitrary number of equations ("players"). The method is based on using a renormalized sub- and super-solution technique. The main novelty consists in the new structure conditions on the critical growth terms with allow us to show weak solvability for Bellman systems to certain classes of stochastic differential games.

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Mathematics Subject Classification: Primary: 35J60, 35K55; Secondary: 35J55, 35B65.

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References

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