Non-linear Stegall's lemma and general Hamilton-Jacobi-Bellman equations on Wasserstein spaces

Abstract

We present a comparison principle for unbounded viscosity solutions to Hamilton-Jacobi equations on Wasserstein spaces of probability measures over $R^d$ . In addition to the use of standard techniques of viscosity solutions, our approach requires a key extension on Wasserstein spaces of a result of perturbed optimization on Banach spaces due to Stegall.