Stochastic control with fixed marginal distributions
Preprint Series # 800 Mikami, Toshio Stochastic control with fixed marginal distributions. (2006); AbstractWe briefly describe the socalled MongeKantorovich Problem (MKP for short)
which is often referred to as an optimal mass transportation problem and
study the stochastic optimal control problem (SOCP for short)
with fixed initial and terminal distributions.
In particular, we study the socalled Duality Theorem for the SOCP
where continuous semimartingales under consideration have a variable diffusion matrix
and then discuss the relation between the MKP and the SOCP.
We also study the socalled Nelson's Problem, as the SOCP with fixed marginal distributions
at each time, to which we give a new approach from the Duality Theorem.
We finally consider a class of deterministic variational problems with fixed marginal distributions
which is related to the SOCP by extending a class of measures under consideration.
Item Type:  Preprint 

Additional Information:  15 copies 

Uncontrolled Keywords:  MongeKantorovich Problem, Stochastic control, fixed marginal distributions
Nelson's Problem,Duality Theorem 

Subjects:  93xx SYSTEMS THEORY; CONTROL 

ID Code:  1610 

