From the Schrödinger problem to the Monge-Kantorovich problem

DOI10.1016/J.JFA.2011.11.026zbMATH Open1236.49088arXiv1011.2564OpenAlexW2963035177MaRDI QIDQ665503FDOQ665503

Authors: Christian Léonard 

Publication date: 5 March 2012

Published in: Journal of Functional Analysis (Search for Journal in Brave)

Abstract: The aim of this article is to show that the Monge-Kantorovich problem is the limit of a sequence of entropy minimization problems when a fluctuation parameter tends down to zero. We prove the convergence of the entropic values to the optimal transport cost as the fluctuations decrease to zero, and we also show that the limit points of the entropic minimizers are optimal transport plans. We investigate the dynamic versions of these problems by considering random paths and describe the connections between the dynamic and static problems. The proofs are essentially based on convex and functional analysis. We also need specific properties of Gamma-convergence which we didn't find in the literature. Hence we prove these Gamma-convergence results which are interesting in their own right.

Full work available at URL: https://arxiv.org/abs/1011.2564

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zbMATH Keywords

optimal transportlarge deviations\(\Gamma\)-convergencerelative entropyMonge--Kantorovich problem

Mathematics Subject Classification ID

Large deviations (60F10) Variational problems in a geometric measure-theoretic setting (49Q20) Inequalities; stochastic orderings (60E15) Diffusion processes (60J60)

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Cited In (92)

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