A system of Schrödinger's problems and functional equations

Jin Feng, Toshio Mikami

Published 2025-01-01Version 1

We propose and study a system of Schr\"odinger's problems and functional equations in probability theory. More precisely, we consider a system of variational problems of relative entropies for probability measures with given two endpoint marginals, which can be defined inductively. We also consider an inductively defined system of functional equations, which are Euler's equations for our variational problems. These are generalizations of Schr\"odinger's problem and functional equation in probability theory. We prove the existence and uniqueness of solutions to our functional equations up to a multiplicative function, from which we show the existence and uniqueness of a minimizer of our variational problem. Our problem gives an approach for a stochastic optimal transport analog of the Knothe--Rosenblatt rearrangement from a variational problem point of view.