Semimartingales from the Fokker-Planck equation

DOI10.1007/S00245-005-0844-ZzbMATH Open1136.93049OpenAlexW2156147179MaRDI QIDQ2502188FDOQ2502188

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

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Mathematics Subject Classification ID

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

Cited In (5)

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

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