Well-posedness for Hamilton–Jacobi equations on the Wasserstein space on graphs

Abstract

In this manuscript, given a metric tensor on the probability simplex, we define differential operators on the Wasserstein space of probability measures on a graph. This allows us to propose a notion of graph individual noise operator and investigate Hamilton–Jacobi equations on this Wasserstein space. We prove comparison principles for viscosity solutions of such Hamilton–Jacobi equations and show existence of viscosity solutions by Perron’s method. We also discuss a model optimal control problem and show that the value function is the unique viscosity solution of the associated Hamilton–Jacobi–Bellman equation.