An intrinsic calculus of variations for functionals of laws of semi-martingales

DOI10.1016/J.SPA.2018.10.001MaRDI QIDQ2274249zbMATH OpenOpenAlexWikidataFDO

Authors Rémi Lassalle, Ana Bela Cruzeiro

Publication date 19 September 2019

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1501.05134

zbMATH Keywords

stochastic controlstochastic analysisleast action principleSchrödinger problem

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

Abstract: We develop a non-anticipating calculus of variations for functionals on a space of laws of continuous semi-martingales, which extends the classical one. We extend Hamilton's least action principle and Noether's theorem to this generalized stochastic framework. As an application we obtain, under mild conditions, a stochastic Euler-Lagrange condition and invariants for the critical points of recent problems in stochastic control, namely for the semi-martingale optimal transportation problems.

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Cited in

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