The stochastic value function on metric measure spaces

Abstract

Let $(S,d)$ be a compact metric space and let $m$ be a Borel probability measure on $(S,d)$. We shall prove that, if $(S,d,m)$ is a $RCD(K,\infty )$ space, then the stochastic value function satisfies the viscous Hamilton-Jacobi equation, exactly as in Fleming's theorem on ${\mathbf{R}}^d$.