A finite-dimensional approximation for partial differential equations on Wasserstein space

Abstract

This paper presents a finite-dimensional approximation for a class of partial differential equations on the space of probability measures. These equations are satisfied in the sense of viscosity solutions. The main result states the convergence of the viscosity solutions of the finite-dimensional PDE to the viscosity solutions of the PDE on Wasserstein space, provided that uniqueness holds for the latter, and heavily relies on an adaptation of the Barles & Souganidis monotone scheme (Barles and Souganidis, 1991) to our context, as well as on a key precompactness result for semimartingale measures. We illustrate our convergence result with the example of the Hamilton–Jacobi–Bellman and Bellman–Isaacs equations arising in stochastic control and differential games, and propose an extension to the case of path-dependent PDEs.