|
Hokkaido University Collection of Scholarly and Academic Papers >
Graduate School of Science / Faculty of Science >
Hokkaido University Preprint Series in Mathematics >
Optimal control for absolutely continuous stochastic processes and the mass transportation problem
| Title: | Optimal control for absolutely continuous stochastic processes and the mass transportation problem |
| Authors: | Mikami, T. Browse this author |
| Issue Date: | 1-Oct-2000 |
| Publisher: | Department of Mathematics, Hokkaido University |
| Journal Title: | Hokkaido University Preprint Series in Mathematics |
| Volume: | 494 |
| Start Page: | 1 |
| End Page: | 17 |
| Abstract: | We study the optimal control problem for Rd-valued absolutely continuous stochastic processes with given marginal distributions at every time. This can be considered as a generalization of Monge-Kantorovich problem in which they fix marginal distributions only at an initial and a terminal times. When d = 1, we show that there exists a minimizer which is a function of a time and an initial point, that is, an optimal mass transportation. When d > 1, we only show that minimizers satisfy the same ordinary differential equation. |
| Type: | bulletin (article) |
| URI: | http://hdl.handle.net/2115/69244 |
| Appears in Collections: | 理学院・理学研究院 (Graduate School of Science / Faculty of Science) > Hokkaido University Preprint Series in Mathematics
|
Submitter: 数学紀要登録作業用
|
