Monge's problem with a quadratic cost by the zero-noise limit of \(h\)-path processes (Q1881634)

The author establishes a new connection between the optimization of the time dependent Monge-Kantorovich functional \(V_0(P_0,P_1)\) and the minimization problem \[ V_\varepsilon (P_0, P_{1,\varepsilon})= \inf\left\{ E \int_0^1 | u(t)| ^2\,dt \right\} \] over all processes \(u\) for which \(X_0+\int_0^1 u(s)\,ds + \sqrt\varepsilon W(1) \overset {d} {=} P_{1,\varepsilon}\), \(X_0 \overset{d}{=} P_0\). \(P_{1, \varepsilon}\) is a disturbed version of \(P_1\). The solution of this problem is given by \(h\)-path processes of the form \(X_\varepsilon(t) = X_0+\int_0^t b_\varepsilon (s,X_\varepsilon (s)) \,ds + \sqrt\varepsilon W(t)\). It is proved that as \(\varepsilon\to 0\) the drifts of the minimizing \(h\)-path processes approximate \(D\varphi(X_0) - X_0\) where \(D_\varphi\) is the minimizer of the classical Monge-Kantorovich problem.