Large deviations for dynamical Schrödinger problems
arxiv(2024)
摘要
We establish large deviations for dynamical Schrödinger problems driven
by perturbed Brownian motions when the noise parameter tends to zero. Our
results show that Schrödinger bridges charge exponentially small masses
outside of the support of the limiting law that agrees with the optimal
solution to the dynamical Monge-Kantorovich optimal transport problem. Our
proofs build on mixture representations of Schrödinger bridges and
establishing exponential continuity of Brownian bridges with respect to the
initial and terminal points.
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