Optimal control for absolutely continuous stochastic processes and the mass transportation problem

Mikami, T.

Hokkaido University Preprint Series in Mathematics, 2000, 494, 1-17

Permalink : https://doi.org/10.14943/83640

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アクセス権	open access
DOI	https://doi.org/10.14943/83640
URI	https://hdl.handle.net/2115/69244
タイトル	Optimal control for absolutely continuous stochastic processes and the mass transportation problem
著者	著者名 Mikami, T.
言語	英語
発行日	2000-10-01
出版者	Department of Mathematics, Hokkaido University
収録物名	Hokkaido University Preprint Series in Mathematics
巻(号)	494
ページ	1-17
抄録	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.
資源タイプ	紀要論文
出版タイプ	Version of Record