Duality theorem for the stochastic optimal control problem

DOI10.1016/J.SPA.2006.04.014zbMATH Open1118.93056OpenAlexW2056546413MaRDI QIDQ860701FDOQ860701

Authors: Toshio Mikami, Michèle Thieullen 

Publication date: 9 January 2007

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2115/69459

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zbMATH Keywords

stochastic controlduality theoremforward--backward stochastic differential equation

Mathematics Subject Classification ID

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

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Cited In (40)

• Regularity of Schrödinger's functional equation in the weak topology and moment measures
• Dynamical aspects of the generalized Schrödinger problem via Otto calculus -- a heuristic point of view
• Regularity of Schrödinger's functional equation and mean field PDEs for h-path processes
• Stochastic optimal transport with at most quadratic growth cost
• Optimal transportation under controlled stochastic dynamics
• Two end points marginal problem by stochastic optimal transportation
• Fine properties of the optimal Skorokhod embedding problem
• An intrinsic calculus of variations for functionals of laws of semi-martingales
• A geometric perspective on regularized optimal transport
• Duality and approximation of stochastic optimal control problems under expectation constraints
• Stochastic Monge-Kantorovich problem and its duality
• Compactness criterion for semimartingale laws and semimartingale optimal transport
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• Convexity and regularity properties for entropic interpolations
• Path dependent optimal transport and model calibration on exotic derivatives
• From the Schrödinger problem to the Monge-Kantorovich problem
• Stochastic optimal transport revisited
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• Benamou-Brenier and duality formulas for the entropic cost on \(\mathsf{RCD}^*(K,N)\) spaces
• Duality for rectified cost functions
• Portfolio optimization with a prescribed terminal wealth distribution
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• The large time profile for Hamilton-Jacobi-Bellman equations
• About the analogy between optimal transport and minimal entropy
• Optimal Transportation Problem by Stochastic Optimal Control

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