Duality in Stochastic Optimal Control and Applications

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  • Duality in Stochastic Optimal Control and Applications (Viscosity Solution Theory of Differential Equations and its Developments)

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説明

We review a duality result and its applications for a stochastic control problem with fixed marginals obtained in [10]. This problem is the stochastic analog of the well known Monge and Monge-Kantorovich optimal transportation problems.

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