Equivalence between strict viscosity solution and viscosity solution in the Wasserstein space and regular extension of the Hamiltonian in L^2_P
The paper is devoted to the dynamic first order backward Hamilton-Jacobi-Bellman equation on the Wasserstein space and on a time interval \([0,T)\): \[\partial_t u(t,\mu)+\mathcal{H}(\mu,D_{\mu}u(t,\mu))=0,\,\,\,\forall\,(\mu,t)\in \mathcal{P}_2({\mathbb{R}^d})\times [0,T),\leqno(1)\] with the final condition \[u(T,\mu)=\mathcal{G}(\mu),\,\,\,\forall\,\mu\in\mathcal{P}_2({\mathbb{R}^d}),\leqno(2)\] where \(\mathcal{H}:\mathcal{P}_2({\mathbb{R}}^d)\times L_{\mu}^2({\mathbb{R}}^d)\to {\mathbb{R}}\), \(\mathcal{G}:\mathcal{P}_2({\mathbb{R}}^d)\to {\mathbb{R}}\) is a bounded uniformly continuous function, and \(\mathcal{P}_2({\mathbb{R}}^d)\) is the Wasserstein space. Under some assumptions, the author proves that the definitions of Gangbo-Nguyen-Tudorascu and Marigonda-Quincampoix for the viscosity solutions of problem \((1),(2)\) are equivalent. Then he constructs a regular extension of the Hamiltonian in \(L_{{\mathbb P}}^2\times L_{{\mathbb P}}^2\), and proves an existence result for \((1),(2)\). The properties of rearrangement invariant viscosity solutions of the extended equation are also given, and a comparison principle is presented. An example in Multi-Agent Control is finally addressed.
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