G. Mulcahy

Diffusion Approximations to Schr\"{o}dinger Bridges and the Convergence of Entropic Potentials

Consider the Monge-Kantorovich optimal transport problem between two Euclidean densities $\mu$ and $\nu$ and quadratic cost. The $\varepsilon$-Schr\"{o}dinger bridge is the solution to the entropic regularized problem with regularization parameter $\varepsilon$. By taking the conditional expectation of the second coord...