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

DOI10.1016/J.SPA.2018.10.001zbMATH Open1422.60121arXiv1501.05134OpenAlexW2899870074WikidataQ129055799 ScholiaQ129055799MaRDI QIDQ2274249FDOQ2274249

Authors: Rémi Lassalle, Ana Bela Cruzeiro 

Publication date: 19 September 2019

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

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.

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

Recommendations

• Symmetries in the stochastic calculus of variations
• On infinite-dimensional variational problems
• Maupertuis’ principle of least action in stochastic calculus of variations
• A stochastic Noether theorem.
• scientific article; zbMATH DE number 811853

zbMATH Keywords

stochastic controlstochastic analysisleast action principleSchrödinger problem

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Optimal transportation under controlled stochastic dynamics
• Tightness criteria for laws of semimartingales
• Title not available (Why is that?)
• Optimal Transportation Problem by Stochastic Optimal Control
• Variational processes and stochastic versions of mechanics
• A survey of the Schrödinger problem and some of its connections with optimal transport
• Duality theorem for the stochastic optimal control problem
• Entropy, invertibility and variational calculus of adapted shifts on Wiener space
• An Example of a Stochastic Differential Equation Having No Strong Solution
• Title not available (Why is that?)
• Invertibility of adapted perturbations of the identity on abstract Wiener space
• Title not available (Why is that?)
• Mécanique aléatoire
• A weak approach to the stochastic deformation of classical mechanics
• Title not available (Why is that?)
• Reciprocal processes. A measure-theoretical point of view
• Tightness results for laws of diffusion processes application to stochastic mechanics
• Title not available (Why is that?)
• Local Invertibility of Adapted Shifts on Wiener Space and Related Topics
• Title not available (Why is that?)

Cited In (7)

• The mean field Schrödinger problem: ergodic behavior, entropy estimates and functional inequalities
• Title not available (Why is that?)
• Average preserving variation processes in view of optimization
• Extended mean field control problems: stochastic maximum principle and transport perspective
• Critical Ornstein-Uhlenbeck processes
• Some recent developments on Lie symmetry analysis of stochastic differential equations
• A probabilistic deformation of calculus of variations with constraints

This page was built for publication: An intrinsic calculus of variations for functionals of laws of semi-martingales

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2274249)