Schrödinger process minimum entropy distance stochastic optimal control Schrödinger's system variational characterisation
Institute of Mathematics and Informatics Bulgarian Academy of Sciences
Pliska Studia Mathematica Bulgarica, Vol. 17, No 1, (2005), 13p-26p
This work is concerned with a class of Schrödinger process with unbounded potentials : a variant of Jamison's theorem is given without the assumption of continuity and of everywhere strict positivity of q. It associates with Jamison's data (q, Pa, Pb), the Csiszar's projection Q* of a reference measure R* on a set E(Pa, Pb) of probability measures with marginals Pa, Pb. Existence of a solution to the corresponding Schrödinger's system, construction of the Schrödinger's bridge and variational characterisation of Schrödinger process are established.