Some results on entropic projections (Q2752092)
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scientific article; zbMATH DE number 1665393
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| English | Some results on entropic projections |
scientific article; zbMATH DE number 1665393 |
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24 September 2003
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entropy
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Sanov's theorem
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Cramér condition
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Schrödinger bridge
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0.7584490776062012
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0.7399566173553467
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0.7356312870979309
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0.7290821671485901
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Some results on entropic projections (English)
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The paper reviews results on entropy maximization and their relations to the theory of large deviations. In particular, it is shown how various generalizations of Sanov's theorem imply Cramér's theorem under the very strong, the strong, or the weak Cramér condition. Another topic discussed are Schrödinger bridges, which arise as a solution to an entropy maximization problem whith constraints given by initial and terminal laws of a diffusion process. Results on infinite-dimensional Schrödinger bridges were obtained by \textit{H. Föllmer} and \textit{N. Gantert} [Ann. Probab. 25, 901-926 (1997; Zbl 0876.60063)]. For the entire collection see [Zbl 0964.00014].
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