The mean field Schrödinger problem: ergodic behavior, entropy estimates and functional inequalities
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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.
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- 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
- Controlling conservation laws. II: Compressible Navier-Stokes equations
- Schrödinger problem for lattice gases: a heuristic point of view
- Importance sampling for the empirical measure of weakly interacting diffusions
- Controlling conservation laws. I: entropy-entropy flux
- Time Reversal of diffusion processes under a finite entropy condition
- A trajectorial approach to relative entropy dissipation of McKean-Vlasov diffusions: gradient flows and HWBI inequalities
- Turnpike in optimal control of PDEs, ResNets, and beyond
- Dynamical Schrödinger bridge problems on graphs
- Some Connections Between Stochastic Mechanics, Optimal Control, and Nonlinear Schrödinger Equations
- A non‐linear monotonicity principle and applications to Schrödinger‐type problems
- Ergodic control of McKean-Vlasov SDEs and associated Bellman equation
- Gradient estimates for the Schrödinger potentials: convergence to the Brenier map and quantitative stability
- A second order equation for Schrödinger bridges with applications to the hot gas experiment and entropic transportation cost
- Phase transitions, logarithmic Sobolev inequalities, and uniform-in-time propagation of chaos for weakly interacting diffusions
- Time reversal of Markov processes with jumps under a finite entropy condition
- Entropic turnpike estimates for the kinetic Schrödinger problem
- Long-time behaviour of entropic interpolations
- Convergence rate of general entropic optimal transport costs
- Propagation of chaos for mean field Schrödinger problems
- Applications of optimal transportation in the natural sciences. Abstracts from the workshop held February 21--27, 2021 (online meeting)
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