Stochastic optimal transport with free end time

DOI10.1214/20-AIHP1092zbMATH Open1469.35090arXiv1909.04814OpenAlexW3163607904MaRDI QIDQ2041815FDOQ2041815

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

Publication date: 23 July 2021

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

Abstract: We consider a stochastic transportation problem between two prescribed probability distributions (a source and a target) over processes with general drift dependence and with free end times. First, and in order to establish a dual principle, we associate two equivalent formulations of the primal problem in order to guarantee its convexity and lower semi-continuity with respect to the source and target distributions. We exhibit an equivalent Eulerian formulation, whose dual variational principle is given by Hamilton-Jacobi-Bellman type variational inequalities. In the case where the dependence on the drift is bounded, regularity results on the minimizers of the Eulerian problem then enable us to prove attainment in the corresponding dual problem. We also address attainment when the drift component of the cost defining Lagrangian $L$ is superlinear $Lapprox|u{|}^p$ with $1<p<2$, in which case the setting is reminiscent of our approach -- in a previous work -- on deterministic controlled transport problems with free end time. We finally address criteria under which the optimal drift and stopping time are unique, namely strict convexity in the drift component and monotonicity in time of the Lagrangian.

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

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zbMATH Keywords

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

Mathematics Subject Classification ID

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

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Cited In (7)

• Two end points marginal problem by stochastic optimal transportation
• Stochastic optimal transport revisited
• Optimal transport with controlled dynamics and free end times
• Dynamic and stochastic propagation of the Brenier optimal mass transport
• Optimal stopping of stochastic transport minimizing submartingale costs
• Optimal controlled transports with free end times subject to import/export tariffs
• PDE methods for optimal Skorokhod embeddings

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