Regularity of Schroedinger's functional equation and mean field PDEs for h-path processes

Abstract

E. Schroedinger proposed the equation to find the statistical property of a quantum particle on a finite time interval. It is called "Schroedinger's functional equation". Given probability distributions of a particle at initial and terminal times, it determines the joint distribution of a quantum particle at initial and terminal times so that a particle is Markovian. S. Bernstein generalized Schroedinger's idea and introduced the so-called Bernstein processes which are also called reciprocal processes or one-dimensional Markov random fields. The theory of stochastic differential equation for Schroedinger's functional equation was given by B. Jamison. The solution is Doob's h-path process with given two end point marginals. We show that the solution of Schroedinger's functional equation is measurable in space, kernel and marginals. As an application, we show that the drift vector of the h-path process with given two end point marginals is a measurable function of space, time and marginal at each time. In particular, we show that the marginals satisfy a class of mean field PDE systems of which the coefficients are measurable function of space, time and marginal. We also show that Schroedinger's functional equation is the Euler equation of a stochastic optimal transportation problem.