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

   
@article{ECP1061,
	author = {Toshio Mikami},
	title = {Optimal Control for Absolutely Continuous Stochastic Processes and the Mass Transportation Problem},
	journal = {Electron. Commun. Probab.},
	fjournal = {Electronic Communications in Probability},
	volume = {7},
	year = {2002},
	keywords = {Absolutely continuous stochastic process,  mass transportation problem, Salisbury's problem, Markov control, zero-noise limit},
	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 $d > 1$,  we show that a minimizer exists and that  minimizers satisfy the same ordinary differential equation.},
	pages = {no. 20, 199-213},
	issn = {1083-589X},
	doi = {10.1214/ECP.v7-1061},    
        url = {http://ecp.ejpecp.org/article/view/1061}}