2013 Fiscal Year Final Research Report
stochastic optimal transportation problem and its application
| Project/Area Number |
23540205
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Research Field |
Basic analysis
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| Research Institution | Hiroshima University |
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Principal Investigator |
MIKAMI toshio 広島大学, 工学(系)研究科(研究院), 教授 (70229657)
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| 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)
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| 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)
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| Project Period (FY) |
2011 – 2013
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| Keywords | 確率最適輸送問題 / 双対定理 / 確率２点境界値問題 |
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| 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.
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