On the difference between entropic cost and the optimal transport cost

DOI10.1214/23-aap1983arXiv1905.12206OpenAlexW4391483226MaRDI QIDQ6126793

Soumik Pal

Publication date: 10 April 2024

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1905.12206

zbMATH Keywords

optimal transportstochastic portfolio theorySchrödinger problementropic regularization

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Large deviations (60F10) Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10) Measures of information, entropy (94A17)

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