Convergence of the solutions of the MFG discounted Hamilton-Jacobi equation

Marco Masoero

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arXiv · 1906.01505

Convergence of the solutions of the MFG discounted Hamilton-Jacobi equation

Marco Masoero

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Abstract

We consider the solution $\mathcal V_\delta$ of the discounted Hamilton-Jacobi equation in the Wasserstein space arising from potential MFG and we prove its full convergence to a corrector function $\chi_0$. We follow the structure of the proof of the analogue result in the finite dimensional setting provided by Davini, Fathi, Iturriaga, Zavidovique in 2017. We characterize the limit $\chi_0$ through a particular set of smooth Mather measures. A major point that distinguishes the techniques deployed in the standard setting from the ones that we use here is the lack of mollification in the Wasserstain space.

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Marco Masoero. 2019-06-04. Convergence of the solutions of the MFG discounted Hamilton-Jacobi equation. https://arxiv.org/abs/1906.01505

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