Stochastic optimal transport with free end time

DOI10.1214/20-AIHP1092zbMath1469.35090arXiv1909.04814OpenAlexW3163607904MaRDI QIDQ2041815

Aaron Zeff Palmer, Samer Dweik, Young-Heon Kim, Nassif Ghoussoub

Publication date: 23 July 2021

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1909.04814

zbMATH Keywords

viscosity solutionsKantorovich dualitystochastic optimal transportHamilton-Jacobi-Bellman type variational inequalities

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) PDEs with randomness, stochastic partial differential equations (35R60) Viscosity solutions to PDEs (35D40) Hamilton-Jacobi equations (35F21)

Related Items (1)

PDE methods for optimal Skorokhod embeddings

Cites Work

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