Stochastic Bridges over Ensemble of Linear Systems

Abstract: We consider particles that are conditioned to initial and final states. The trajectory of these particles is uniquely shaped by the intricate interplay of internal and external sources of randomness. The internal randomness is aptly modelled through a parameter varying over a deterministic set, thereby giving rise to an ensemble of systems. Concurrently, the external randomness is introduced through the inclusion of white noise. Within this context, our primary objective is to effectively generate the stochastic bridge through the optimization of a random differential equation. As a deviation from the literature, we show that the optimal control mechanism, pivotal in the generation of the bridge, does not conform to the typical Markov strategy. Instead, it adopts a non-Markovian strategy, which can be more precisely classified as a stochastic feedforward control input. This unexpected divergence from the established strategies underscores the complex interrelationships present in the dynamics of the system under consideration.