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SIAMCO
2008

Optimal Transportation Problem by Stochastic Optimal Control

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Optimal Transportation Problem by Stochastic Optimal Control
We solve optimal transportation problem using stochastic optimal control theory. Indeed, for a super linear cost at most quadratic at infinity, we prove Kantorovich duality theorem by a zero noise limit (or vanishing viscosity) argument.. We also obtain a characterization of the support of an optimal measure in Monge-Kantorovich minimization problem (MKP) as a graph. Our key tool is a duality result for a stochastic control problem which naturally extends (MKP).
Toshio Mikami, Michèle Thieullen
Added 14 Dec 2010
Updated 14 Dec 2010
Type Journal
Year 2008
Where SIAMCO
Authors Toshio Mikami, Michèle Thieullen
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