Università degli Studi di Padova

“Entropic turnpike estimates for the kinetic Schrödinger problem”

Venerdì 2 Dicembre 2022, ore 11:00 - Aula 2BC30 e Zoom - Giacomo Greco (Eindhoven University of Technology)


The kinetic Schrödinger problem consists in finding the most likely evolution of a system of i.i.d. particles driven by the underdamped Langevin dynamics, conditionally on their initial and final spatial configurations. In this model each particle is described both by its position and velocity, but there is no a priori knowledge of the velocities at the initial and final time. We will investigate the long-time behaviour of this kinetic system, proving that its most likely evolution is exactly the one that spends most of the time exponentially close to the equilibrium configuration (this property is commonly known in stochastic control theory as the turnpike property).

This short talk is based on a joint work with A. Chiarini, G. Conforti, Z. Ren.

Seminars in Probability and Finance