Hamilton-Jacobi Equations in the Wasserstein Space

Abstract

We introduce a concept of viscosity solutions for Hamilton-Jacobi equations (HJE) in the Wasserstein space. We prove existence of solutions for the Cauchy problem for certain Hamiltonians defined on the Wasserstein space over the real line. In order to illustrate the link between HJE in the Wasserstein space and Fluid Mechanics, in the last part of the paper we focus on a special Hamiltonian. The characteristics for these HJE are solutions of physical systems in finite dimensional spaces.