The Most Likely Evolution of Diffusing and Vanishing Particles: Schrödinger Bridges with Unbalanced Marginals

DOI10.1137/21M1447672zbMath1493.49045arXiv2108.02879OpenAlexW3193280114MaRDI QIDQ5093266

Michele Pavon, Tryphon T. Georgiou, Yongxin Chen

Publication date: 26 July 2022

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2108.02879

zbMATH Keywords

stochastic optimal controlSchrödinger bridgesoptimal mass transportdiffusion with killing

Mathematics Subject Classification ID

Stochastic analysis applied to problems in fluid mechanics (76M35) Variational methods applied to problems in fluid mechanics (76M30) Optimal stochastic control (93E20) Diffusion processes (60J60) Large deviations (60F10) Transport processes in time-dependent statistical mechanics (82C70) Operators arising in mathematical physics (47B93) Optimal transportation (49Q22)

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Joint distribution of two local times for diffusion processes with the application to the construction of various conditioned processes

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