Error estimates for finite-dimensional approximations of Hamilton-Jacobi-Bellman equations on the Wasserstein space

Samuel Daudin, Joe Jackson, Benjamin Seeger

In this paper, we study a Hamilton-Jacobi-Bellman (HJB) equation set on the Wasserstein space ${\mathcal{P}}_2({\mathbb{R}}^d)$, with a second order term arising from a purely common n…