An intrinsic calculus of variations for functionals of laws of semi-martingales

Rémi Lassalle and Ana Bela Cruzeiro

Stochastic Processes and their Applications, 2019, vol. 129, issue 10, 3585-3618

Abstract: We develop a calculus of variations for functionals on a space of laws of continuous stochastic processes, which extends the classical one. We extend Hamilton’s least action principle and Noether’s theorem to this generalized framework. As an application we obtain, under mild conditions, a stochastic Euler−Lagrange condition and invariants for the critical points of recent problems in stochastic control, namely for semi-martingale optimal transportation problems.

Keywords: Stochastic analysis; Least Action principle; Stochastic control; Schrödinger problem (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304414918305593
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:129:y:2019:i:10:p:3585-3618

Ordering information: This journal article can be ordered from
http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.spa.2018.10.001

Access Statistics for this article

Stochastic Processes and their Applications is currently edited by T. Mikosch

More articles in Stochastic Processes and their Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().