Convergence of solutions of Hamilton-Jacobi equations depending nonlinearly on the unknown function

Qinbo Chen

Published 2020-09-28Version 1

Motivated by the vanishing discount problem, we study the convergence of solutions of Hamilton-Jacobi equations depending nonlinearly on the unknown function. Let $H(x,p,u)$ be a continuous Hamiltonian which is strictly increasing in $u$, and is convex and coercive in $p$. For each parameter $\lambda>0$, we denote by $u^\lambda$ the unique viscosity solution of the H-J equation \[H( x,Du(x),\lambda u(x) )=c.\] Under quite general assumptions, we prove that $u^\lambda$ converges uniformly, as $\lambda$ tends to zero, to a specific solution of the critical H-J equation $ H(x,Du(x),0)=c.$ We also characterize the limit solution in terms of Peierls barrier and Mather measures.