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2002 Optimal Control for Absolutely Continuous Stochastic Processes and the Mass Transportation Problem
Toshio Mikami
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Electron. Commun. Probab. 7: 199-213 (2002). DOI: 10.1214/ECP.v7-1061

Abstract

We study the optimal control problem for $\mathbb{R}^d$-valued absolutely continuous stochastic processes with given marginal distributions at every time. When $d=1$, we show the existence and the uniqueness of a minimizer which is a function of a time and an initial point. When $d \gt 1$, we show that a minimizer exists and that minimizers satisfy the same ordinary differential equation.

Citation

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Toshio Mikami. "Optimal Control for Absolutely Continuous Stochastic Processes and the Mass Transportation Problem." Electron. Commun. Probab. 7 199 - 213, 2002. https://doi.org/10.1214/ECP.v7-1061

Information

Accepted: 29 October 2002; Published: 2002
First available in Project Euclid: 16 May 2016

zbMATH: 1030.93060
MathSciNet: MR1937905
Digital Object Identifier: 10.1214/ECP.v7-1061

Subjects:
Primary: 93E20

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