Lazy random walks and optimal transport on graphs

Christian Léonard (1)

1 MODAL'X - Modélisation aléatoire de Paris X

This paper is about the construction of displacement interpolations on a discrete metric graph. Our approach is based on the approximation of any optimal transport problem whose cost function is a distance on a discrete graph by a sequence of Schrödinger problems associated with random walks whose jump frequencies tend down to zero. Displacement interpolations are defined as the limit of the time-marginal flows of the solutions to the Schrödinger problems. This allows to work with these interpolations by doing stochastic calculus on the approximating random walks which are regular objects, and then to pass to the limit in a slowing down procedure. The main convergence results are based on Gamma-convergence of entropy minimization problems. As a by-product, we obtain new results about optimal transport on graphs.

Mots clés: random walks; Schroedinger problem; Displacement interpolation; Gamma-convergence; entropy minimization; optimal transport; discrete metric graph

Domaines: Géométrie métrique [math.MG]; Probabilités [math.PR]

Christian Léonard. Lazy random walks and optimal transport on graphs. Annals of Probability, 2016, 44 (3), pp.1864-1975. ⟨hal-00849938v2⟩