Stochastic optimal transport with free end time
DOI10.1214/20-AIHP1092zbMath1469.35090arXiv1909.04814OpenAlexW3163607904MaRDI QIDQ2041815
Aaron Zeff Palmer, Samer Dweik, Young-Heon Kim, 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
viscosity solutionsKantorovich dualitystochastic optimal transportHamilton-Jacobi-Bellman type variational inequalities
Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) PDEs with randomness, stochastic partial differential equations (35R60) Viscosity solutions to PDEs (35D40) Hamilton-Jacobi equations (35F21)
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Cites Work
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