Stochastic optimal transport for the Langevin dynamics and its zero--mass limit

Abstract

We introduce a stochastic optimal transport for the Langevin dynamics with positive mass and study its zero--mass limit. The new aspect of this paper is that we only fix the initial and terminal probability distributions of the positions of particles under consideration, but not those of their velocities with Heisenberg's uncertainty principle in mind. In the zero--mass limit, we show that the minimizer of our stochastic optimal transport is tight if and only if the initial momentum of a particle converges to zero. We also show that the limit of a minimizer of our stochastic optimal transport is a minimizer of a standard stochastic optimal transport for continuous semimartingales.