Bellman Equations with Sub-Lipschitz Hessians

Abstract

We construct homogeneous solutions with non-Lipschitz Hessian for finite, constant-coefficient Bellman equations. First, for every $\sigma \in (0,1)$, we find two uniformly elliptic matrices $A_1,A_2\in {\mathcal{S}}^4$ and a nonzero $(2+\sigma )$-homogeneous solution $u$ of \[\max\bigl\{{\rm tr}\,(A_1D^2u),{\rm tr}\,(A_2D^2u)\bigr\}=0 \qquad\text{in }\mathbb{R}^4.\] Second, in ${\mathbb{R}}^2$ we construct three matrices satisfying ${\mathrm{Id}}_2\le A_j\le 3{\mathrm{Id}}_2$ for which the corresponding Bellman equation admits a homogeneous solution with a non-Lipschitz Hessian. In particular, solutions to convex fully nonlinear uniformly elliptic equations are not in $C^{2,1}$, and not even in $C^{2,1-\epsilon }$ for $\epsilon >0$ small.