A formula for the time derivative of the entropic cost and applications

Abstract

In the recent years the Schrödinger problem has gained a lot of attention because of the connection, in the small-noise regime, with the Monge-Kantorovich optimal transport problem. Its optimal value, the \emph{entropic cost} ${\mathcal{C}}_T$, is here deeply investigated. In this paper we study the regularity of ${\mathcal{C}}_T$ with respect to the parameter $T$ under a curvature condition and explicitly compute its first and second derivative. As applications: - we determine the large-time limit of ${\mathcal{C}}_T$ and provide sharp exponential convergence rates; we obtain this result not only for the classical Schrödinger problem but also for the recently introduced Mean Field Schrödinger problem [3]; - we improve the Taylor expansion of $T\mapsto T{\mathcal{C}}_T$ around $T=0$ from the first to the second order.

39 pages, to appear in Journal of Functional Analysis