Quenched mass transport of particles towards a target - Archive ouverte HAL
Article Dans Une Revue Journal of Optimization Theory and Applications Année : 2020

Quenched mass transport of particles towards a target

Résumé

We consider the stochastic target problem of finding the collection of initial laws of a mean-field stochastic differential equation such that we can control its evolution to ensure that it reaches a prescribed set of terminal probability distributions, at a fixed time horizon. Here, laws are considered conditionally to the path of the Brownian motion that drives the system. We establish a version of the geometric dynamic programming principle for the associated reachability sets and prove that the corresponding value function is a viscosity solution of a geometric partial differential equation. This provides a characterization of the initial masses that can be almost-surely transported towards a given target, along the paths of a stochastic differential equation. Our results extend [16] to our setting.
Fichier principal
Vignette du fichier
Bouchard et al. - 2020 - Quenched Mass Transport of Particles Toward a Targ.pdf (428 Ko) Télécharger le fichier
Origine Fichiers produits par l'(les) auteur(s)

Dates et versions

hal-01567312 , version 1 (22-07-2017)
hal-01567312 , version 2 (31-10-2018)
hal-01567312 , version 3 (19-11-2020)

Identifiants

Citer

Bruno Bouchard, Boualem Djehiche, Idris Kharroubi. Quenched mass transport of particles towards a target. Journal of Optimization Theory and Applications, 2020, ⟨10.1007/s10957-020-01704-y⟩. ⟨hal-01567312v3⟩
237 Consultations
342 Téléchargements

Altmetric

Partager

More