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 language | English |
|---|---|
| Pages (from-to) | 901-926 |
| Number of pages | 26 |
| Journal | Annals of Probability |
| Volume | 25 |
| Issue number | 2 |
| DOIs | |
| State | Published - Apr 1997 |
| Externally published | Yes |
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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