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2013 Fiscal Year Final Research Report

stochastic optimal transportation problem and its application

Research Project

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Project/Area Number 23540205
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeMulti-year Fund
Section一般
Research Field Basic analysis
Research InstitutionHiroshima University

Principal Investigator

MIKAMI toshio  広島大学, 工学(系)研究科(研究院), 教授 (70229657)

Co-Investigator(Kenkyū-buntansha) ICHIHARA Naoyuki  広島大学, 大学院・工学研究院, 准教授 (70452563)
KAISE Hidehiro  大阪大学, 大学院・基礎工学研究科, 准教授 (60377778)
Co-Investigator(Renkei-kenkyūsha) HIGUCHI Isao  大分工業高等専門学校, 一般科理系, 准教授 (20325153)
Project Period (FY) 2011 – 2013
Keywords確率最適輸送問題 / 双対定理 / 確率2点境界値問題
Research Abstract

On the study of stochastic process analogue of a generalization of the Knothe-Rosenblatt Rearrangement and its application, we proved the duality theorem and the characterization by the duality theorem and by the singular perturbation. We characterized the finiteness of the value function of the stochastic optimal transportation problem, via the duality theorem, by the integrability condition of derivatives of logarithms of initial and terminal distributions. This gives a new approach for the existence of a solution to two end points stochastic boundary value problem by the duality theorem for the stochastic optimal transportation problem and the finiteness of value function.

  • Research Products

    (6 results)

All 2013 2012 2011

All Journal Article (3 results) (of which Peer Reviewed: 2 results) Presentation (3 results)

  • [Journal Article] Stochastic optimal transportation problem and related topics. Progress in Variational Problems : Variational Problems Interacting with Probability Theories2013

    • Author(s)
      T. Mikami
    • Journal Title

      Surikaiseki-kenkyusho Kokyuroku

      Volume: No. 1837 Pages: 74--86

  • [Journal Article] A characterization of the Knothe-Rosenblatt processes by a convergence result2012

    • Author(s)
      T. Mikami
    • Journal Title

      SIAM J. CONT. OPTIM

      Volume: 50 (4) Pages: 1903-1920

    • Peer Reviewed
  • [Journal Article] Maxima and minima of overall survival functions with fixed marginal distributions and transm- ission of technology2012

    • Author(s)
      I. Higuchi and T. Mikami
    • Journal Title

      Communications in Statistics-Theory and Methods-

      Volume: 41, Issue 1 Pages: 46-61

    • Peer Reviewed
  • [Presentation] Stochastic optimal transportation and related topics2012

    • Author(s)
      T. Mikami
    • Organizer
      変分問題の展開-確率論と交錯する変分問題
    • Place of Presentation
      RIMS, Kyoto Univ
    • Year and Date
      20120611-13
  • [Presentation] Stochastic optimal transportation and marginal problem for stochastic processes2011

    • Author(s)
      T. Mikami
    • Organizer
      Dynamical Optimization in PDE and Geometry: Applications to Hamilton-Jacobi, Ergodic Optimization, Weak KAM
    • Place of Presentation
      Universite Bordeaux 1, France
    • Year and Date
      20111212-21
  • [Presentation] Stochastic optimal transportation and marginal problem for stochastic processes2011

    • Author(s)
      T. Mikami
    • Organizer
      Probability and Geometry
    • Place of Presentation
      Kumamoto Univ
    • Year and Date
      20110915-17

URL: 

Published: 2015-07-16  

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