Time reversal of diffusion processes under a finite entropy condition-Reference-Cited by-同舟云学术

Time reversal of diffusion processes under a finite entropy condition

Published:2023-11-01 Issue:4 Volume:59 Page:
ISSN:0246-0203
Container-title:Annales de l'Institut Henri Poincaré, Probabilités et Statistiques
language:
Short-container-title:Ann. Inst. H. Poincaré Probab. Statist.

Author:

Cattiaux Patrick¹,Conforti Giovanni²,Gentil Ivan³,Léonard Christian⁴

Affiliation:

1. Institut de Mathématiques de Toulouse. Université Paul Sabatier, Toulouse, France

2. Département de Mathématiques Appliquées, École Polytechnique, Palaiseau, France

3. Institut Camille Jordan, Université Claude Bernard, Lyon, France

4. Modal-X, Université Paris Nanterre, France

Publisher

Institute of Mathematical Statistics

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Reference45 articles.

1. M. Nagasawa. Time reversions of Markov processes. Nagoya Math. J. 24 (1964) 177–204.

2. L. Ambrosio, N. Gigli and G. Savaré. Gradient Flows in Metric Spaces and in the Space of Probability Measures, 2nd edition. Lectures in Mathematics ETH Zürich. Birkhäuser, Basel, 2008.

3. J. Backhoff, G. Conforti, I. Gentil and C. Léonard. The mean field Schrödinger problem: Ergodic behavior, entropy estimates and functional inequalities. Probab. Theory Related Fields 178 (2020) 475–530.

4. P. Cattiaux and F. Petit. Singular diffusions, time reversal and applications to Fokker–Planck equations. Unpublished, 2001. Available at https://perso.math.univ-toulouse.fr/cattiaux/publications-2/.

5. Y. Chen, T. Georgiou and M. Pavon. On the relation between optimal transport and Schrödinger bridges: A stochastic control viewpoint. J. Optim. Theory Appl. 169 (2) (2016) 671–691.