Average preserving variation processes in view of optimization

Abstract

In this paper, we investigate specific least action principles for laws of stochastic processes within a framework which stands on filtrations preserving variations. The associated Euler–Lagrange conditions, which we obtain, exhibit a deterministic process in the dynamics aside the canonical martingale term. In particular, taking specific action functionals, extremal processes with respect to those variations encompass specific laws of continuous semi-martingales whose drift characteristic is integrable with independent increments. Then, we relate extremal processes of classical cost functions, in particular of specific entropy functions, to a class of forward-backward systems of Mckean–Vlasov stochastic differential equations.