Entropy Minimization and Schrr Odinger Processes in Innnite Dimensions
نویسنده
چکیده
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 a basic case study in innnite dimensions, we investigate these diierent aspects for Schrr odinger processes of innnite-dimensional Brownian motion. The results and examples concerning entropy minimization with given marginals are of independent interest.
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