Two end points marginal problem by stochastic optimal transportation

DOI10.1137/14099070XMaRDI QIDQ2942285zbMATH OpenOpenAlexFDO

Authors Toshio Mikami

Publication date 20 August 2015

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

Full work available at URL https://doi.org/10.1137/14099070x

zbMATH Keywords

Fokker-Planck equationsh-path processmarginal problemsemimartingalestochastic optimal transport

Mathematics Subject Classification ID

Fokker-Planck equations (35Q84) Duality theory (optimization) (49N15) Generalizations of martingales (60G48) Diffusion processes (60J60) Brownian motion (60J65) Optimal stochastic control (93E20)

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Cited in

(10)

• Regularity of Schrödinger's functional equation in the weak topology and moment measures
• Stochastic optimal transport revisited
• Stochastic optimal transport with free end time
• Optimal control of diffusion processes with terminal constraint in law
• The large time profile for Hamilton-Jacobi-Bellman equations
• Regularity of Schrödinger's functional equation and mean field PDEs for h-path processes
• Optimal Transportation Problem by Stochastic Optimal Control
• Portfolio optimization with a prescribed terminal wealth distribution
• Compactness criterion for semimartingale laws and semimartingale optimal transport
• Stochastic optimal transport with at most quadratic growth cost

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