Optimal Transportation Problem by Stochastic Optimal Control
DOI10.1137/050631264zbMATH Open1175.93245OpenAlexW1966874355MaRDI QIDQ3629481FDOQ3629481
dualitystochastic controlvalue functionMonge-Kantorovich problemMonge problemvanishing viscosityHamilton-Jacobi-Bellman PDEoptimal mass transportation theorysemiconvex functions
Variational problems in a geometric measure-theoretic setting (49Q20) Diffusion processes (60J60) Continuous-time Markov processes on general state spaces (60J25) Existence theories for optimal control problems involving partial differential equations (49J20) Hamilton-Jacobi equations in mechanics (70H20) Optimal stochastic control (93E20) Duality theory (optimization) (49N15) Stochastic processes (60G99)
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Cited In (45)
- The Most Likely Evolution of Diffusing and Vanishing Particles: Schrödinger Bridges with Unbalanced Marginals
- Optimal transportation under controlled stochastic dynamics
- Two end points marginal problem by stochastic optimal transportation
- An intrinsic calculus of variations for functionals of laws of semi-martingales
- A geometric perspective on regularized optimal transport
- Optimal position targeting via decoupling fields
- Stochastic Monge-Kantorovich problem and its duality
- Optimal control for absolutely continuous stochastic processes and the mass transportation problem
- Average preserving variation processes in view of optimization
- Evolution problems in spaces of probability measures
- Quenched mass transport of particles toward a target
- From the Schrödinger problem to the Monge-Kantorovich problem
- Particles systems and numerical schemes for mean reflected stochastic differential equations
- Stochastic optimal transport revisited
- Nonexponential Sanov and Schilder theorems on Wiener space: BSDEs, Schrödinger problems and control
- Duality theorem for the stochastic optimal control problem
- Second order differentiation formula on \(\mathsf{RCD}^*(K,N)\) spaces
- Benamou-Brenier and duality formulas for the entropic cost on \(\mathsf{RCD}^*(K,N)\) spaces
- Optimal transport with controlled dynamics and free end times
- A remark on the Lagrangian formulation of optimal transport with a non-convex cost
- Optimal control applications in transport theory
- Dynamic and stochastic propagation of the Brenier optimal mass transport
- Entropic Optimal Planning for Path-Dependent Mean Field Games
- Optimal transport over nonlinear systems via infinitesimal generators on graphs
- Stochastic optimal transportation. Stochastic control with fixed marginals
- On the relation between optimal transport and Schrödinger bridges: a stochastic control viewpoint
- A survey of the Schrödinger problem and some of its connections with optimal transport
- Multimarginal Optimal Transport with a Tree-Structured Cost and the Schrödinger Bridge Problem
- Stochastic optimal transport with free end time
- Traversing the Schrödinger bridge strait: Robert Fortet's marvelous proof redux
- A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options
- Entropic and displacement interpolation: a computational approach using the Hilbert metric
- Optimal mass transport for problems in control, statistical estimation, and image analysis
- Limit theorems for entropic optimal transport maps and Sinkhorn divergence
- Extremal flows in Wasserstein space
- Optimal transportation flows
- The dynamical Schrödinger problem in abstract metric spaces
- Distributed online optimization for multi-agent optimal transport
- Optimal control of measures
- Stochastic control liaisons. Richard Sinkhorn meets Gaspard Monge on a Schrödinger bridge
- Propagation of chaos for mean field Schrödinger problems
- Convergence rate of general entropic optimal transport costs
- A planning problem combining calculus of variations and optimal transport
- A multiscale analysis of multi-agent coverage control algorithms
- Causal transport plans and their Monge-Kantorovich problems
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