 Solution

The chain rule gives $d[f(t,X(t),V(t))]/dt=0$ along each characteristic curve. Pulling the initial datum back by the inverse characteristic flow map therefore givesDirect differentiation also gives $f_t=-a(v)\cdot {\nabla }_{x}f$, so this is a classical solution of the transport equation. Composition with a smooth function makes $f$ smooth jointly in $(t,x,v)$; nonnegative initial data remain nonnegative.

If $K=\mathrm{supp}{f}_{\mathrm{in}}$, then $\mathrm{supp}f(t)=S_{0,t}(K)$. A continuous image of a compact set is compact. Thus compact support is preserved at every finite time; there is no claim of one fixed compact support for all $t\ge 0$.