The mean field Schrödinger problem: ergodic behavior, entropy estimates and functional inequalities

DOI10.1007/S00440-020-00977-8zbMATH Open1453.91021arXiv1905.02393OpenAlexW3036842247WikidataQ114229366 ScholiaQ114229366MaRDI QIDQ2200503FDOQ2200503

Authors: Julio Daniel Backhoff, Giovanni Conforti, Ivan Gentil, Christian Léonard 

Publication date: 22 September 2020

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Abstract: We study the mean field Schr"odinger problem (MFSP), that is the problem of finding the most likely evolution of a cloud of interacting Brownian particles conditionally on the observation of their initial and final configuration. Its rigorous formulation is in terms of an optimization problem with marginal constraints whose objective function is the large deviation rate function associated with a system of weakly dependent Brownian particles. We undertake a fine study of the dynamics of its solutions, including quantitative energy dissipation estimates yielding the exponential convergence to equilibrium as the the time between observations grows larger and larger, as well as a novel class of functional inequalities involving the mean field entropic cost (i.e. the optimal value in (MFSP)). Our strategy unveils an interesting connection between forward backward stochastic differential equations and the Riemannian calculus on the space of probability measures introduced by Otto, which is of independent interest.

Full work available at URL: https://arxiv.org/abs/1905.02393

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Mathematics Subject Classification ID

Large deviations (60F10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Mean field games (aspects of game theory) (91A16)

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Cited In (25)

• Regularity of Schrödinger's functional equation in the weak topology and moment measures
• Hopf-Cole transformation via generalized Schrödinger bridge problem
• A variational characterization of Langevin-Smoluchowski diffusions
• Coupling by reflection for controlled diffusion processes: turnpike property and large time behavior of Hamilton-Jacobi-Bellman equations
• Mean-field limit for a class of stochastic ergodic control problems
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• Importance sampling for the empirical measure of weakly interacting diffusions
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