Stochastic Optimal Transportation

Stochastic Control with Fixed Marginals

Toshio Mikami (Autor)

Buch | Softcover

121 Seiten

2021 | 1st ed. 2021
Springer Verlag, Singapore
978-981-16-1753-9 (ISBN)

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In this book, the optimal transportation problem (OT) is described as a variational problem for absolutely continuous stochastic processes with fixed initial and terminal distributions. Also described is Schrödinger’s problem, which is originally a variational problem for one-step random walks with fixed initial and terminal distributions. The stochastic optimal transportation problem (SOT) is then introduced as a generalization of the OT, i.e., as a variational problem for semimartingales with fixed initial and terminal distributions. An interpretation of the SOT is also stated as a generalization of Schrödinger’s problem. After the brief introduction above, the fundamental results on the SOT are described: duality theorem, a sufficient condition for the problem to be finite, forward–backward stochastic differential equations (SDE) for the minimizer, and so on. The recent development of the superposition principle plays a crucial role in the SOT. A systematic method is introducedto consider two problems: one with fixed initial and terminal distributions and one with fixed marginal distributions for all times. By the zero-noise limit of the SOT, the probabilistic proofs to Monge’s problem with a quadratic cost and the duality theorem for the OT are described. Also described are the Lipschitz continuity and the semiconcavity of Schrödinger’s problem in marginal distributions and random variables with given marginals, respectively. As well, there is an explanation of the regularity result for the solution to Schrödinger’s functional equation when the space of Borel probability measures is endowed with a strong or a weak topology, and it is shown that Schrödinger’s problem can be considered a class of mean field games. The construction of stochastic processes with given marginals, called the marginal problem for stochastic processes, is discussed as an application of the SOT and the OT.

Chapter 1. Introduction.- Chapter 2. Stochastic optimal transportation problem.- Chapter 3. Marginal problem.

Erscheinungsdatum	28.06.2021
Reihe/Serie	SpringerBriefs in Mathematics
Zusatzinfo	15 Illustrations, black and white; XI, 121 p. 15 illus.
Verlagsort	Singapore
Sprache	englisch
Maße	155 x 235 mm
Themenwelt	Mathematik / Informatik ► Mathematik ► Analysis
	Mathematik / Informatik ► Mathematik ► Geometrie / Topologie
	Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik
ISBN-10	981-16-1753-8 / 9811617538
ISBN-13	978-981-16-1753-9 / 9789811617539
Zustand	Neuware