Existence and global Lipschitz estimates for unbounded classical solutions of a Hamilton-Jacobi equation

Abstract: The purpose of this article is to prove existence, uniqueness and uniform gradient estimates for unbounded classical solutions of a Hamilton-Jacobi-Bellman equation. Such an equation naturally arises in stochastic control problems. Contrary to the classical literature which handles the case of bounded regular coefficients, we only impose Lipschitz regularity conditions, allowing for a linear growth of coefficients. This latter regularity assumption is natural in a probabilistic setting. In principle, this assumption is compatible with global Lipschitz regularity for the solution. However, to the best of our knowledge, this useful result had not been established before. The proof that we provide relies on classical methods from the viscosity solution theory, combining the Ishii-Lions method [IL90] for uniformly elliptic equations with ideas from the weak Bernstein method [Bar91].