A second order equation for Schrödinger bridges with applications to the hot gas experiment and entropic transportation cost
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The Schrödinger problem is obtained by replacing the mean square distance with the relative entropy in the Monge–Kantorovich problem. It was first addressed by Schrödinger as the problem of describing the most likely evolution of a large number of Brownian particles conditioned to reach an “unexpected configuration”. Its optimal value, the entropic transportation cost, and its optimal solution, the Schrödinger bridge, stand as the natural probabilistic counterparts to the transportation cost and displacement interpolation. Moreover, they provide a natural way of lifting from the point to the measure setting the concept of Brownian bridge. In this article, we prove that the Schrödinger bridge solves a second order equation in the Riemannian structure of optimal transport. Roughly speaking, the equation says that its acceleration is the gradient of the Fisher information. Using this result, we obtain a fine quantitative description of the dynamics, and a new functional inequality for the entropic transportation cost, that generalize Talagrand’s transportation inequality. Finally, we study the convexity of the Fisher information along Schrödigner bridges, under the hypothesis that the associated reciprocal characteristic is convex. The techniques developed in this article are also well suited to study the Feynman–Kac penalisations of Brownian motion.
Mathematics Subject Classification60J60 39B62 60F10 46N10 47D07
The author acknowledges support from CEMPI Lille and the University of Lille 1. He also wishes to thank Christian Léonard for having introduced him to the Schrödinger problem, and for many fruitful discussions.
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