A weak convergence approach to the large deviations of the dynamic Schrödinger problem

Abstract: In this paper, we consider large deviations for dynamical Schrödinger problems, using the variational approach developed by Dupuis, Ellis, Budhiraja, and others. Recent results on scaled families of Schrödinger problems, in particular by Bernton, Ghosal, and Nutz, and the authors, have established large deviation principles for the static problem. For the dynamic problem, only the case with a scaled Brownian motion reference process has been explored by Kato. Here, we derive large deviation results using the variational approach, with the aim of going beyond the Brownian reference dynamics considered by Kato. Specifically, we develop a uniform on compacts Laplace principle for bridge processes conditioned on their endpoints. When combined with existing results for the static problem, this leads to a large deviation principle for the corresponding (dynamic) Schrödinger bridge. In addition to the specific results of the paper, our work puts such large deviation questions into the weak convergence framework, and we conjecture that the results can be extended to cover also more involved types of reference dynamics. Specifically, we provide an outlook on applying the result to reflected Schrödinger bridges.