A stochastic control approach to reciprocal diffusion processes

DOI10.1007/BF01442404zbMATH Open0728.93079MaRDI QIDQ805590FDOQ805590

Authors: Paolo Dai Pra 

Publication date: 1991

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

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zbMATH Keywords

reciprocal processesscalar linear stochastic system

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

Cites Work

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• Reciprocal processes
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• The Markov processes of Schr�dinger
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• An automorphism of product measures
• Reciprocal Processes: The Stationary Gaussian Case
• Exit probabilities and optimal stochastic control
• Interaction in multidimensional contingency tables: an information theoretic approach
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• Stochastic variational formula for fundamental solutions of parabolic PDE
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• The Onsager-Machlup function as Lagrangian for the most probable path of a diffusion process

Cited In (47)

• 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
• Solving high-dimensional Hamilton-Jacobi-Bellman PDEs using neural networks: perspectives from the theory of controlled diffusions and measures on path space
• A variational characterization of Langevin-Smoluchowski diffusions
• The Most Likely Evolution of Diffusing and Vanishing Particles: Schrödinger Bridges with Unbalanced Marginals
• Stochastic optimal transport with at most quadratic growth cost
• Two end points marginal problem by stochastic optimal transportation
• Second order stochastic differential equations and non-Gaussian reciprocal diffusions
• Steering the distribution of agents in mean-field games system
• A geometric perspective on regularized optimal transport
• Lagrange approach to the optimal control of diffusions
• Graph-structured tensor optimization for nonlinear density control and mean field games
• Unbiased estimation using a class of diffusion processes
• Data assimilation: the Schrödinger perspective
• A minimum entropy problem for stationary reversible stochastic spin systems on the infinite lattice
• Weak approximation of Schrödinger-Föllmer diffusion
• Neural Schrödinger bridge for unpaired real-world image deraining
• Global Optimization via Schrödinger–Föllmer Diffusion
• Title not available (Why is that?)
• Stochastic optimal transport revisited
• Control of heterogeneous diffusion process in order to stabilize the probability distribution density
• Duality theorem for the stochastic optimal control problem
• A homing problem for diffusion processes with control-dependent variance.
• Connection between an exactly solvable stochastic optimal control problem and a nonlinear reaction-diffusion equation
• The Brownian transport map
• 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
• CONTROLLED DIFFUSION PROCESSES WITE SUCCESSIVE REWARDS
• Traversing the Schrödinger bridge strait: Robert Fortet's marvelous proof redux
• Optimal control of underdamped systems: an analytic approach
• An exact bandit model for the risk-volatility tradeoff
• Entropic and displacement interpolation: a computational approach using the Hilbert metric
• A second order equation for Schrödinger bridges with applications to the hot gas experiment and entropic transportation cost
• Linearly solvable stochastic control Lyapunov functions
• Extremal flows in Wasserstein space
• State distributions and minimum relative entropy noise sequences in uncertain stochastic systems: the discrete-time case
• Stochastic control liaisons. Richard Sinkhorn meets Gaspard Monge on a Schrödinger bridge
• Increasing risk: dynamic mean-preserving spreads
• Controllability of a Fokker-Planck equation, the Schrödinger system, and a related stochastic optimal control (revised version)
• Diffusion Schrödinger bridges for Bayesian computation
• Stochastic gradient descent and fast relaxation to thermodynamic equilibrium: a stochastic control approach
• Bayesian learning via neural Schrödinger-Föllmer flows
• Heterogeneous recurrence monitoring and control of nonlinear stochastic processes
• Reciprocal class of jump processes
• Exact renormalization groups and transportation of measures
• Fast cooling for a system of stochastic oscillators
• A class of stochastic optimal control problems in Hilbert spaces: BSDEs and optimal control laws, state constraints, conditioned processes.

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