Optimal Transportation Problem by Stochastic Optimal Control

DOI10.1137/050631264zbMath1175.93245OpenAlexW1966874355MaRDI QIDQ3629481

Toshio Mikami, Michèle Thieullen

Publication date: 27 May 2009

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

Full work available at URL: http://hdl.handle.net/2115/69495

zbMATH Keywords

stochastic controldualityvanishing viscosityvalue functionMonge-Kantorovich problemMonge problemHamilton-Jacobi-Bellman PDEoptimal mass transportation theorysemiconvex functions

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Variational problems in a geometric measure-theoretic setting (49Q20) Optimal stochastic control (93E20) Diffusion processes (60J60) Stochastic processes (60G99) Duality theory (optimization) (49N15) Existence theories for optimal control problems involving partial differential equations (49J20) Hamilton-Jacobi equations in mechanics (70H20)

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