Asymptotic analysis for Hamilton-Jacobi-Bellman equations on Euclidean space

Abstract: The long-time average behavior of the value function in the calculus of variations is known to be connected to the existence of the limit of the corresponding Abel means. Still in the Tonelli case, such a limit is in turn related to the existence of solutions of the critical Hamilton-Jacobi equation. The goal of this paper is to address similar issues when set on the whole Euclidean space and the Hamiltonian fails to be Tonelli. We first study the convergence of the time-averaged value function as the time horizon goes to infinity, proving the existence of the critical constant for a general control system. Then, we show that the ergodic equation admits solutions for systems associated with a family of vector fields which satisfies the Lie Algebra rank condition. Finally, we construct a critical solution of the HJB equation on the whole space which coincides with its Lax-Oleinik evolution.