Stochastic optimal transport with free end time

DOI10.1214/20-AIHP1092MaRDI QIDQ2041815zbMATH OpenOpenAlexFDO

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)

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

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)

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.

Recommendations

• Optimal transport with controlled dynamics and free end times
• Stochastic optimal transport revisited
• Optimal transportation under controlled stochastic dynamics
• Two end points marginal problem by stochastic optimal transportation
• Free discontinuities in optimal transport
• Optimal transport and Skorokhod embedding
• Stochastic optimal transportation. Stochastic control with fixed marginals
• Optimal Transportation Problem by Stochastic Optimal Control
• Optimal transport between random measures
• Dynamics of optimal partial transport

Cites work

• scientific article; zbMATH DE number 3954798 (Why is no real title available?)
• scientific article; zbMATH DE number 3720745 (Why is no real title available?)
• scientific article; zbMATH DE number 3638386 (Why is no real title available?)
• scientific article; zbMATH DE number 791171 (Why is no real title available?)
• scientific article; zbMATH DE number 3099866 (Why is no real title available?)
• Distribution-constrained optimal stopping
• From the Schrödinger problem to the Monge-Kantorovich problem
• Geometry of distribution-constrained optimal stopping problems
• Hölder estimates in space-time for viscosity solutions of Hamilton-Jacobi equations
• Monge's problem with a quadratic cost by the zero-noise limit of \(h\)-path processes
• On the planning problem for a class of mean field games
• On the planning problem for the mean field games system
• On the relation between optimal transport and Schrödinger bridges: a stochastic control viewpoint
• On weighted Poincaré inequalities
• Optimal Transportation Problem by Stochastic Optimal Control
• Optimal control for absolutely continuous stochastic processes and the mass transportation problem
• Optimal control of diffusion processes and hamilton–jacobi–bellman equations part 2 : viscosity solutions and uniqueness
• Optimal transport and Skorokhod embedding
• Optimal transport with controlled dynamics and free end times
• Optimal transportation under controlled stochastic dynamics
• PDE methods for optimal Skorokhod embeddings
• Polar factorization and monotone rearrangement of vector‐valued functions
• Representation of Martingales, Quadratic Variation and Applications
• The geometry of optimal transportation
• Tightness criteria for laws of semimartingales
• Tightness results for laws of diffusion processes application to stochastic mechanics
• User’s guide to viscosity solutions of second order partial differential equations

Cited in

(8)

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

This page was built for publication: Stochastic optimal transport with free end time

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2041815)