Two end points marginal problem by stochastic optimal transportation

DOI10.1137/14099070XzbMATH Open1334.93184OpenAlexW1130137714MaRDI QIDQ2942285FDOQ2942285

Authors: Toshio Mikami 

Publication date: 20 August 2015

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/14099070x

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zbMATH Keywords

semimartingaleFokker-Planck equationsmarginal problemstochastic optimal transporth-path process

Mathematics Subject Classification ID

Diffusion processes (60J60) Brownian motion (60J65) Generalizations of martingales (60G48) Fokker-Planck equations (35Q84) Optimal stochastic control (93E20) Duality theory (optimization) (49N15)

Cites Work

• Optimal Transport
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• Monge's problem with a quadratic cost by the zero-noise limit of \(h\)-path processes
• Optimal transportation under controlled stochastic dynamics
• Selected papers on probability and statistics
• From the Schrödinger problem to the Monge-Kantorovich problem
• Optimal Transportation Problem by Stochastic Optimal Control
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• The Markov processes of Schr�dinger
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• Note on the Schrödinger equation and \(I\)-projections
• Variational processes from the weak forward equation
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Cited In (10)

• Regularity of Schrödinger's functional equation in the weak topology and moment measures
• Regularity of Schrödinger's functional equation and mean field PDEs for h-path processes
• Stochastic optimal transport with at most quadratic growth cost
• Compactness criterion for semimartingale laws and semimartingale optimal transport
• Stochastic optimal transport revisited
• Portfolio optimization with a prescribed terminal wealth distribution
• Stochastic optimal transport with free end time
• Optimal control of diffusion processes with terminal constraint in law
• The large time profile for Hamilton-Jacobi-Bellman equations
• Optimal Transportation Problem by Stochastic Optimal Control

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