Mathematical Finance Seminar
RUD 25; 1.115
Julio Backhoff (U. Twente)

The Mean Field Schrödinger Problem

I will introduce the mean field Schrödinger problem, concerned with finding the most likely evolution of a cloud of interacting Brownian particles conditionally on their initial and final configurations. New energy dissipation estimates are shown, yielding exponential convergence to equilibrium as the time between initial and final observations grows to infinity. The method reveals novel functional inequalities involving the mean field entropic cost, as well as an interesting connection with the theory of PDEs. (Joint work with Giovani Conforti, Ivan Gentil and Christian Léonard.)