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Entropy minimization and schrodinger processes in infinite dimensions

  • Humboldt-Universität zu Berlin
  • Technische Universität Berlin

Research output: Contribution to journalArticlepeer-review

26 Scopus citations

Abstract

Schrödinger processes are defined as mixtures of Brownian bridges which preserve the Markov property. In finite dimensions, they can be characterized as h-transforms in the sense of Doob for some space-time harmonic function h of Brownian motion, and also as solutions to a large deviation problem introduced by Schrödinger which involves minimization of relative entropy with given marginals. As a basic case study in infinite dimensions, we investigate these different aspects for Schrödinger processes of infinite-dimensional Brownian motion. The results and examples concerning entropy minimization with given marginals are of independent interest.

Original languageEnglish
Pages (from-to)901-926
Number of pages26
JournalAnnals of Probability
Volume25
Issue number2
DOIs
StatePublished - Apr 1997
Externally publishedYes

Keywords

  • Brownian motion
  • Brownian sheet
  • Entropy minimization under given marginals
  • Large deviations
  • Relative entropy
  • Schrödinger processes
  • Space-time harmonic functions
  • Stochastic mechanics

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