Optimal Transport with Controlled Dynamics and Free End Times

TL;DR

This paper extends optimal transport theory to include controlled dynamics with free end times, involving complex duality and variational inequalities, and connects it to stochastic processes and boundary problems.

Contribution

It introduces a novel framework for optimal transport with free end times, incorporating controlled dynamics and dual variational inequalities, bridging deterministic and stochastic approaches.

Findings

Formulation of controlled dynamics in optimal transport with free end times

Connection between dual variational inequalities and Hamilton-Jacobi-Bellman equations

Identification of barrier hitting times as optimal stopping plans

Abstract

We consider optimal transport problems where the cost is optimized over controlled dynamics and the end time is free. Unlike the classical setting, the search for optimal transport plans also requires the identification of optimal "stopping plans," and the corresponding Monge-Kantorovich duality involves the resolution of a Hamilton-Jacobi-Bellman quasi-variational inequality. We discuss both Lagrangian and Eulerian formulations of the problem, and its natural connection to Pontryagin's maximum principle. We also exhibit a purely dynamic situation, where the optimal stopping plan is a hitting time of a barrier given by the free boundary problem associated to the dual variational inequality. This problem was motivated by its stochastic counterpart, which will be studied in a companion paper.