Semimartingales from the Fokker-Planck equation

DOI10.1007/S00245-005-0844-ZMaRDI QIDQ2502188zbMATHOpenAlexFDO

Authors Toshio Mikami

Publication date 12 September 2006

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/2115/5781

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Optimal stochastic control (93E20)

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Cited in

(5)

• Regularity of Schrödinger's functional equation in the weak topology and moment measures
• Duality theorem for the stochastic optimal control problem
• Stochastic optimal transport revisited
• Two end points marginal problem by stochastic optimal transportation
• Copulas from the Fokker-Planck equation

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