From the Schrodinger problem to the Monge-Kantorovich problem

The aim of this article is to show that the Monge-Kantorovich problem is the limit, when a fluctuation parameter tends down to zero, of a sequence of entropy minimization problems, the so-called Schrodinger problems. We prove the convergence of the entropic optimal values to the optimal transport cost as the fluctuations decrease to zero, and we also show that the cluster points of the entropic minimizers are optimal transport plans. We investigate the dynamic versions of these problems by considering random paths and describe the connections between the dynamic and static problems. The proofs are essentially based on convex and functional analysis. We also need specific properties of Gamma-convergence which we didn't find in the literature; these Gamma-convergence results which are interesting in their own right are also proved. (C) 2011 Elsevier Inc. All rights reserved.