Among -valued triples of random vectors (X,Y,Z) having fixed marginal probability laws, what is the best way to jointly draw (X,Y,Z) in such a way that the simplex generated by (X,Y,Z) has maximal average volume? Motivated by this simple question, we study optimal transportation problems with several marginals when the objective function is the determinant or its absolute value.
In this paper we consider stochastic differential equations on Banach spaces (not Hilbert). The system is semilinear and the principal operator generating a C₀-semigroup is perturbed by a class of bounded linear operators considered as feedback operators from an admissible set. We consider the corresponding family of measure valued functions and present sufficient conditions for weak compactness. Then we consider applications of this result to several interesting optimal feedback control problems....
In this paper we consider the question of optimal control for a class of stochastic evolution equations on infinite dimensional Hilbert spaces with controls appearing in both the drift and the diffusion operators. We consider relaxed controls (measure valued random processes) and briefly present some results on the question of existence of mild solutions including their regularity followed by a result on existence of partially observed optimal relaxed controls. Then we develop the necessary conditions...
Si studia il problema della sintesi per un problema di controllo stocastico con equazione di stato lineare e funzione costo convessa.