Optimal control for absolutely continuous stochastic processes and the mass transportation problem

DOI10.1214/ECP.v7-1061zbMath1030.93060OpenAlexW2149797755MaRDI QIDQ1860597

Toshio Mikami

Publication date: 25 February 2003

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/123220

zbMATH Keywords

mass transportation problemzero-noise limitMarkov controlabsolutely continuous stochastic processSalisbury's problem

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

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Quantitative Stability of Regularized Optimal Transport and Convergence of Sinkhorn's Algorithm ⋮ Duality theorem for the stochastic optimal control problem ⋮ Stability of entropic optimal transport and Schrödinger bridges ⋮ Optimal transportation under controlled stochastic dynamics ⋮ A survey of the Schrödinger problem and some of its connections with optimal transport ⋮ Stability of Schrödinger potentials and convergence of Sinkhorn's algorithm ⋮ Stochastic optimal transport revisited ⋮ Stochastic optimal transport with free end time ⋮ Compactness criterion for semimartingale laws and semimartingale optimal transport ⋮ Geometry of the Schrödinger equation and stochastic mass transportation ⋮ Entropic optimal transport: geometry and large deviations

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