Stochastic variational formula for fundamental solutions of parabolic PDE

DOI10.1007/BF01442207zbMATH Open0579.49013OpenAlexW2028452538MaRDI QIDQ1067195FDOQ1067195

Sheunnjyi Sheu, Wendell Fleming

Publication date: 1985

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01442207

zbMATH Keywords

dynamic programmingstochastic controlfundamental solutionslogarithmic transformationfixed endpointsdiffusions with

Mathematics Subject Classification ID

Diffusion processes (60J60) Asymptotic behavior of solutions to PDEs (35B40) Initial value problems for second-order parabolic equations (35K15) Existence of optimal solutions to problems involving randomness (49J55) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Fundamental solutions to PDEs (35A08)

Cites Work

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• The Cauchy problem for a nonlinear first order partial differential equation
• Optimal Control and Nonlinear Filtering for Nondegenerate Diffusion Processes
• Exit probabilities and optimal stochastic control
• DIFFUSION PROCESSES AND RIEMANNIAN GEOMETRY
• Stochastic calculus of variations and mechanics

Cited In (14)

• Stochastic variational formulas for solutions to linear diffusion equations
• Density estimates for a random noise propagating through a chain of differential equations
• Discrete-time classical and quantum Markovian evolutions: Maximum entropy problems on path space
• Stochastic Control Liaisons: Richard Sinkhorn Meets Gaspard Monge on a Schrödinger Bridge
• A stochastic control approach to reciprocal diffusion processes
• Hölder estimates in space-time for viscosity solutions of hamilton-jacobi equations
• Stochastic control and nonequilibrium thermodynamical systems
• A Variational Characterization of Langevin-Smoluchowski Diffusions
• Variational and optimal control representations of conditioned and driven processes
• Nonequilibrium Markov processes conditioned on large deviations
• Controllability of a Fokker-Planck equation, the Schrödinger system, and a related stochastic optimal control (revised version)
• Density and gradient estimates for non degenerate Brownian SDEs with unbounded measurable drift
• Homogenization of “Viscous” Hamilton–Jacobi Equations in Stationary Ergodic Media
• A class of stochastic optimal control problems in Hilbert spaces: BSDEs and optimal control laws, state constraints, conditioned processes.

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