Generalized entropy minimization under full marginal constraints

Abstract

We consider the problem of minimizing a generalized relative entropy, with respect to a reference diffusion law, over the set of path-measures with fully prescribed marginal distributions. When dealing with the actual relative entropy, problems of this kind have appeared in the stochastic mechanics literature, and minimizers go under the name of Nelson Processes. Through convex duality and stochastic control techniques, we obtain in our main result the full characterization of minimizers, containing the related results in the pioneering works of Cattiaux \& Léonard and Mikami as particular cases. We also establish that minimizers need not be Markovian in general, and may depend on the form of the generalized relative entropy if the state space has dimension greater or equal than two. Finally, we illustrate how generalized relative entropy minimization problems of this kind may prove useful beyond stochastic mechanics, by means of two applications: the analysis of certain mean-field games, and the study of scaling limits for a class of backwards SDEs.

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