Optimal Control for Absolutely Continuous Stochastic Processes and the Mass Transportation Problem


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Please use this identifier to cite or link to this item:http://hdl.handle.net/2115/5927

Title:	Optimal Control for Absolutely Continuous Stochastic Processes and the Mass Transportation Problem
Authors:	Mikami, Toshio¹ Browse this author
Authors(alt):	三上, 敏夫¹
Issue Date:	2002
Publisher:	University of Washington
Journal Title:	Electronic Communications in Probability
Volume:	7
Start Page:	199
End Page:	213
Abstract:	We study the optimal control problem for Rd-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 > 1, we show that a minimizer exists and that minimizers satisfy the same ordinary differential equation.
Description URI:	http://www.math.washington.edu/~ejpecp/ECP/viewarticle.php?id=1644
Type:	article (author version)
URI:	http://hdl.handle.net/2115/5927
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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