The Stefan problem and free targets of optimal Brownian martingale transport

Abstract

We formulate and solve a free target optimal Brownian stopping problem from a given distribution while the target distribution is free and is conditioned to satisfy a given density height constraint. The free target optimization problem exhibits monotonicity, from which a remarkable universality follows, in the sense that the optimal target is independent of its Lagrangian cost type. In particular, the solutions to this optimization problem generate solutions to both unstable and stable type of the Stefan problem, where the former stands for freezing of supercooled fluid $({\mathit{St}}_1)$ and the latter for ice melting $({\mathit{St}}_2)$. This unified approach to both types of the Stefan problem is new. In particular we obtain global-time existence and weak-strong uniqueness for the ill-posed freezing problem $({\mathit{St}}_1)$, for a given initial data and for a well-prepared class of initial domains generated from the initial data.