Entropy minimization and Schrödinger processes in infinite dimensions (Q1356371): Difference between revisions
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Revision as of 14:17, 20 March 2024
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| English | Entropy minimization and Schrödinger processes in infinite dimensions |
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Entropy minimization and Schrödinger processes in infinite dimensions (English)
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10 November 1997
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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.
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Schrödinger process
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Brownian bridges
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large deviation
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space-time harmonic functions
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