Schrödinger process minimum entropy distance stochastic optimal control Schrödinger's system variational characterisation
Issue Date:
2005
Publisher:
Institute of Mathematics and Informatics Bulgarian Academy of Sciences
Citation:
Pliska Studia Mathematica Bulgarica, Vol. 17, No 1, (2005), 13p-26p
Abstract:
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.
