Entropy minimization and Schrödinger processes in infinite dimensions
A Schrödinger process is a Markov process that can be expressed as a mixture of Brownian bridges. In finite-dimensional spaces, they appear in a problem of large deviation involving minimization of the relative entropy with fixed marginals, which has been considered first by Schrödinger, and can also be obtained as a Doob's \(h\)-transform of Brownian motion for a certain class of space-time harmonic functions. The paper investigates the analogous connections in infinite dimension.
scientific article; zbMATH DE number 1018413