Schrödinger problem and reciprocal walks on graph

09.06.2015, 14:15-15:45  –  Am Neuen Palais, Haus 22 Raum 1.27
Forschungsseminar Wahrscheinlichkeitstheorie

Giovanni Conforti (Potsdam/Padova)

In this talk, we introduce the Schrödinger problem, which is the problem of finding a way to transform an initial distribution into a final one along a stochastic process minimizing the relative entropy with respect to a given refer-ence process. This problem leads naturally to the study of reciprocal walks. For a random walk on a graph, we com-pute explicitly reciprocal characteristics and give their probabilistic interpretation.