Entropy minimization and Schrodinger processes in infinite dimensions
成果类型：
Article
署名作者：
Föllmer, H; Gantert, N
署名单位：
Humboldt University of Berlin; Technical University of Berlin
刊物名称：
ANNALS OF PROBABILITY
ISSN/ISSBN：
0091-1798
发表日期：
1997
页码：
901-926
关键词：
摘要：
Schrodinger 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 Schrodinger which involves minimization of relative entropy with given marginals. As a basic case study in infinite dimensions, we investigate these different aspects for Schrodinger processes of infinite-dimensional Brownian motion. The results and examples concerning entropy minimization with given marginals are of independent interest.