SIAM Journal on Control and Optimization, Vol.47, No.3, 1127-1139, 2008
Optimal transportation problem by stochastic optimal control
We address an optimal mass transportation problem by means of optimal stochastic control. We consider a stochastic control problem which is a natural extension of the Monge-Kantorovich problem. Using a vanishing viscosity argument we provide a probabilistic proof of two fundamental results in mass transportation: the Kantorovich duality and the graph property for the support of an optimal measure for the Monge-Kantorovich problem. Our key tool is a stochastic duality result involving solutions of the Hamilton-Jacobi-Bellman PDE.
Keywords:optimal mass transportation theory;Monge-Kantorovich problem;Monge problem;duality;stochastic control;Hamilton-Jacobi-Bellman PDE;value function;vanishing viscosity;semiconvex functions