Exponentially concave functions and a new information geometry (Q1746149)

Let \(\Delta_n\) be the open unit simplex \(\{(p_1,\ldots p_n)\in\mathbb R^n:p_i>0,\sum_{i=1}^n p_i=1 \}\). A function \(\varphi:\Delta_n\to\mathbb R^n\cup\{\infty\}\) is called exponentially concave if \(e^\varphi\) is concave. For each exponentially concave function \(\varphi\) we can associate its \(L\)-divergence \(T(q|p)=\log(1+\nabla\varphi(p)\cdot (q-p))- (\varphi(q)-\varphi(p))\). Similarly to classical information geometry, the authors introduce and study a new geometry on \(\Delta_n\) consisiting of a Riemann metric and two connections associated with the \(L\)-divergence. Some applications to optimal transport problem and to mathematical finances are discussed.