A stochastic control approach to reciprocal diffusion processes

DOI10.1007/BF01442404MaRDI QIDQ805590zbMATH OpenFDO

Authors Paolo Dai Pra

Publication date 1991

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

zbMATH Keywords

reciprocal processesscalar linear stochastic system

Mathematics Subject Classification ID

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

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Cited in

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• Regularity of Schrödinger's functional equation in the weak topology and moment measures
• Solving high-dimensional Hamilton-Jacobi-Bellman PDEs using neural networks: perspectives from the theory of controlled diffusions and measures on path space
• Regularity of Schrödinger's functional equation and mean field PDEs for h-path processes
• A variational characterization of Langevin-Smoluchowski diffusions
• The Most Likely Evolution of Diffusing and Vanishing Particles: Schrödinger Bridges with Unbalanced Marginals
• Second order stochastic differential equations and non-Gaussian reciprocal diffusions
• Steering the distribution of agents in mean-field games system
• Stochastic optimal transport with at most quadratic growth cost
• Two end points marginal problem by stochastic optimal transportation
• A geometric perspective on regularized optimal transport
• Lagrange approach to the optimal control of diffusions
• Unbiased estimation using a class of diffusion processes
• Graph-structured tensor optimization for nonlinear density control and mean field games
• A minimum entropy problem for stationary reversible stochastic spin systems on the infinite lattice
• Data assimilation: the Schrödinger perspective
• Weak approximation of Schrödinger-Föllmer diffusion
• Global Optimization via Schrödinger–Föllmer Diffusion
• Stochastic optimal transport revisited
• Neural Schrödinger bridge for unpaired real-world image deraining
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• Duality theorem for the stochastic optimal control problem
• Control of heterogeneous diffusion process in order to stabilize the probability distribution density
• 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
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• 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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