An excursion onto Schrödinger's bridges: Stochastic flows with spatio-temporal marginals

Abstract: The purpose of the present work is to expand substantially the type of control and estimation problems that can be addressed following the paradigm of Schr\"odinger bridges, by incorporating termination (killing) of stochastic flows. Specifically, in the context of estimation, we seek the most likely evolution realizing measured spatio-temporal marginals of killed particles. In the context of control, we seek a suitable control action directing the killed process toward spatio-temporal probabilistic constraints. To this end, we derive a new Schr\"odinger system of coupled, in space and time, partial differential equations to construct the solution of the proposed problem. Further, we show that a Fortet-Sinkhorn type of algorithm is available to attain the associated bridge. A key feature of our framework is that the obtained bridge retains the Markovian structure in the prior process, and thereby, the corresponding controller takes the form of state feedback.