On smooth approximations in the Wasserstein space

Abstract

In this paper we investigate the approximation of continuous functions on the Wasserstein space by smooth functions, with smoothness meant in the sense of Lions differentiability. In particular, in the case of a Lipschitz function we are able to construct a sequence of infinitely differentiable functions having the same Lipschitz constant as the original function. This solves an open problem raised in [11]. For (resp. twice) continuously differentiable function, we show that our approximation also holds for the first-order derivative (resp. second-order derivatives), therefore solving another open problem raised in [11].

References in corpus (3)

• Wellposedness of Second Order Master Equations for Mean Field Games with Nonsmooth Data
• Kolmogorov equations on spaces of measures associated to nonlinear filtering processes
• Higher order Lions-Taylor expansions