Duality in Stochastic Optimal Control and Applications


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Please use this identifier to cite or link to this item:http://hdl.handle.net/2115/5884

Title:	Duality in Stochastic Optimal Control and Applications
Authors:	Mikami, Toshio¹ Browse this author
Authors:	Thieullen, Michèle Browse this author
Authors(alt):	三上, 敏夫¹
Keywords:	optimal transportation problem
	Legendre transform
	duality theorem
	stochastic control
	forward-backward stochastic differential equation
Issue Date:	Apr-2005
Publisher:	京都大学数理解析研究所
Journal Title:	解析研究所講究録
Volume:	1428
Start Page:	106
End Page:	119
Abstract:	We review a duality result and its applications for a stochastic control problem with fixed marginals obtained in [10]. This problem is the stochastic analog of the well known Monge and Monge-Kantorovich optimal transportation problems.
Type:	article (author version)
URI:	http://hdl.handle.net/2115/5884
Appears in Collections:	理学院・理学研究院 (Graduate School of Science / Faculty of Science) > 雑誌発表論文等 (Peer-reviewed Journal Articles, etc)

Submitter: 三上敏夫

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