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Financial/Actuarial Mathematics Seminar

A LAW OF LARGE NUMBERS FOR ENTROPY AND SCHRÖDINGER BRIDGES
Wednesday, January 13, 2021
4:00-5:00 PM
Passcode: 790109 https://umich.zoom.us/j/95407665241 Off Campus Location
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
Building: Off Campus Location
Location: Virtual
Event Type: Workshop / Seminar
Tags: Mathematics
Source: Happening @ Michigan from Department of Mathematics