Entropy minimization and Schrödinger processes in infinite dimensions
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Publication:1356371
DOI10.1214/aop/1024404423zbMath0876.60063OpenAlexW2051326392MaRDI QIDQ1356371
Publication date: 10 November 1997
Published in: The Annals of Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aop/1024404423
Continuous-time Markov processes on general state spaces (60J25) Brownian motion (60J65) Probabilistic potential theory (60J45) Large deviations (60F10) Measures of information, entropy (94A17)
Related Items (14)
Stability of entropic optimal transport and Schrödinger bridges ⋮ A survey of the Schrödinger problem and some of its connections with optimal transport ⋮ A second order equation for Schrödinger bridges with applications to the hot gas experiment and entropic transportation cost ⋮ Convex duality in nonlinear optimal transport ⋮ Dispersion-constrained martingale Schrödinger problems and the exact joint S\&P 500/VIX smile calibration puzzle ⋮ Convergence rate of general entropic optimal transport costs ⋮ Reciprocal processes. A measure-theoretical point of view ⋮ An entropic interpolation problem for incompressible viscous fluids ⋮ Large deviations for many Brownian bridges with symmetrised initial-terminal condition ⋮ Large deviations of the trajectory of empirical distributions of Feller processes on locally compact spaces ⋮ Data assimilation: The Schrödinger perspective ⋮ Duality formula for the bridges of a Brownian diffusion: Application to gradient drifts ⋮ Entropic optimal transport: convergence of potentials ⋮ Martingale Schrödinger bridges and optimal semistatic portfolios
Cites Work
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- An automorphism of product measures
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- Self-similarity of Brownian motion and a large deviation principle for random fields on a binary tree
- Entropy minimization, \(DAD\) problems, and doubly stochastic kernels
- Résolution d'un système d'équations de M. Schrödinger
- Decomposition of Multivariate Functions
- Reciprocal processes
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- [https://portal.mardi4nfdi.de/wiki/Publication:4140092 The Markov processes of Schr�dinger]
- Schrödinger processes and large deviations
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