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


 
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1. Title Title of document Optimal Control for Absolutely Continuous Stochastic Processes and the Mass Transportation Problem
 
2. Creator Author's name, affiliation, country Toshio Mikami; Hokkaido University
 
3. Subject Discipline(s) Mathematics
 
3. Subject Keyword(s) Absolutely continuous stochastic process, mass transportation problem, Salisbury's problem, Markov control, zero-noise limit
 
3. Subject Subject classification 93E20
 
4. Description 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.
 
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7. Date (YYYY-MM-DD) 2002-10-29
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ecp.ejpecp.org/article/view/1061
 
10. Identifier Digital Object Identifier 10.1214/ECP.v7-1061
 
11. Source Journal/conference title; vol., no. (year) Electronic Communications in Probability; Vol 7
 
12. Language English=en en
 
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