Entropy minimization and Schrödinger processes in infinite dimensions

DOI10.1214/AOP/1024404423zbMath0876.60063OpenAlexW2051326392MaRDI QIDQ1356371

Hans Föllmer, Nina Gantert

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

zbMATH Keywords

large deviationBrownian bridgesspace-time harmonic functionsSchrödinger process

Mathematics Subject Classification ID

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

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