Entropy minimization and Schrödinger processes in infinite dimensions
نویسندگان
چکیده
منابع مشابه
Entropy Minimization and Schrr Odinger Processes in Innnite Dimensions
Schrr odinger processes are deened as mixtures of Brownian bridges which preserve the Markov property. In nite 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 Schrr odinger which involves minimization of relative entropy with given marginals. As...
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ژورنال
عنوان ژورنال: The Annals of Probability
سال: 1997
ISSN: 0091-1798
DOI: 10.1214/aop/1024404423