Long-time behavior of first-order Hamilton-Jacobi equations in the Wasserstein space

Abstract

We establish the long-time behavior of solutions $U$ to first-order Hamilton-Jacobi equations in the Wasserstein space $\mathcal{P}_2(\mathbb T^d)$. For a class of Hamiltonians with quadratic growth, including non-convex ones, we prove that there exist a unique ergodic constant $λ$ and a solution $V$ of the associated ergodic problem such that $U(t,m)-λt$ converges to $V(m)$, uniformly on $\mathcal{P}_2(\mathbb T^d)$, as $t\to+\infty$. Finally, we provide applications to mean field control problems and zero-sum differential games.