Entropic and optimal transport

16.07.2018, 17:15-18:15  –  Haus 9, Raum 2.22
Forschungsseminar Wahrscheinlichkeitstheorie

Christian Léonard (Paris)

The Schrödinger problem is an entropy minimization problem on a set of  path measures with prescribed initial and final marginals. It arises  from a large deviation principle for the empirical measures of large  particle systems. When the dynamics of the particles is slowed down  while the prescribed marginals are unchanged, a second level large  deviation phenomenon  occurs. This leads to a sequence, indexed by the  slowdown parameter, of Schrödinger problems Gamma-converging to a  dynamical optimal transport problem.