Some results on entropic projections

MaRDI QIDQ2752092zbMATH OpenFDO

Authors Christian Léonard

Publication date 24 September 2003

zbMATH Keywords

Cramér conditionentropySanov's theoremSchrödinger bridge

Mathematics Subject Classification ID

Large deviations (60F10) Diffusion processes (60J60) Measures of information, entropy (94A17)

Review text

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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