Note on the Schrödinger equation and \(I\)-projections

DOI10.1016/0167-7152(93)90257-JzbMath0780.60036OpenAlexW1968979754MaRDI QIDQ689528

M. C. Fu

Publication date: 30 January 1994

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-7152(93)90257-j

zbMATH Keywords

large deviationprojection theoremSchrödinger bridgesoptimal estimators in marginal models

Mathematics Subject Classification ID

Stochastic analysis (60H99) (L^p)-limit theorems (60F25)

Related Items (30)

Continuity of f-projections and applications to the iterative proportional fitting procedure ⋮ Convergence and finite sample approximations of entropic regularized Wasserstein distances in Gaussian and RKHS settings ⋮ Monge's problem with a quadratic cost by the zero-noise limit of \(h\)-path processes ⋮ Copula modeling for discrete random vectors ⋮ Entropy minimization and Schrödinger processes in infinite dimensions ⋮ Entropy-regularized 2-Wasserstein distance between Gaussian measures ⋮ Duality theorem for the stochastic optimal control problem ⋮ Stability of entropic optimal transport and Schrödinger bridges ⋮ A survey of the Schrödinger problem and some of its connections with optimal transport ⋮ Two End Points Marginal Problem by Stochastic Optimal Transportation ⋮ A second order equation for Schrödinger bridges with applications to the hot gas experiment and entropic transportation cost ⋮ Entropic regularization of Wasserstein distance between infinite-dimensional Gaussian measures and Gaussian processes ⋮ A non‐linear monotonicity principle and applications to Schrödinger‐type problems ⋮ Convex duality in nonlinear optimal transport ⋮ Dispersion-constrained martingale Schrödinger problems and the exact joint S\&P 500/VIX smile calibration puzzle ⋮ From the Schrödinger problem to the Monge-Kantorovich problem ⋮ BOUNDING WRONG‐WAY RISK IN CVA CALCULATION ⋮ Regularity of Schrödinger's functional equation in the weak topology and moment measures ⋮ Unified generalized iterative scaling and its applications ⋮ An iterative procedure for general probability measures to obtain \(I\)-projections onto intersections of convex sets ⋮ Stochastic optimal transport revisited ⋮ Regularity of Schrödinger's functional equation and mean field PDEs for h-path processes ⋮ Second order differentiation formula on \(\mathsf{RCD}^*(K,N)\) spaces ⋮ Asymptotic inference for semiparametric association models ⋮ Biproportional scaling of matrices and the iterative proportional fitting procedure ⋮ Domain decomposition for entropy regularized optimal transport ⋮ Entropic turnpike estimates for the kinetic Schrödinger problem ⋮ Entropic optimal transport: convergence of potentials ⋮ Maximum entropy copula with given diagonal section ⋮ Martingale Schrödinger bridges and optimal semistatic portfolios

Cites Work

• An automorphism of product measures
• I-divergence geometry of probability distributions and minimization problems
• Doubly stochastic operators obtained from positive operators
• On extremal measures and subspace density
• Iterates of Conditional Expectation Operators
• Estimating Optimal Transformations for Multiple Regression and Correlation
• Asymptotic evaluation of certain Markov process expectations for large time—III
• Large deviations from the mckean-vlasov limit for weakly interacting diffusions
• A Remark on Extreme Doubly Stochastic Measures
• Theory of Reproducing Kernels
• Functional Operators (AM-22), Volume 2
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