Presented By: Department of Mathematics
Financial/Actuarial Mathematics Seminar
A LAW OF LARGE NUMBERS FOR ENTROPY AND SCHRÖDINGER BRIDGES
Extending on the work of Backhoff et. al. on the Mean Field Schrödinger Bridge Problem we consider an N-Particle Schrödinger Bridge Problem. We argue that optimal values for our problem converge to the optimal value for the Mean Field Schrödinger Bridge Problem. In doing so, we derive a kind of Law of Large Numbers for the entropy functional for measures on C[0,T]. Speaker(s): Berkan Yilmaz
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