Bridge, Reverse Bridge, and Their Control

TL;DR

This paper studies the statistical properties of constrained stochastic processes and explores under what conditions these processes remain symmetric when time is reversed.

Contribution

The paper derives a local condition for time-reversal symmetry in bridges of stochastic processes and demonstrates partial symmetry in a non-equilibrium system.

Findings

A necessary condition for time-reversal symmetry in bridges is derived using current velocity and detailed balance.

Partial time-reversal symmetry is observed in a non-equilibrium system called Brownian Gyrators.

The squared modulus of a non-Gaussian process shows perfect time-reversal symmetry under specific constraints.

Abstract

We investigate the bridge problem for stochastic processes, that is, we analyze the statistical properties of trajectories constrained to begin and terminate at a fixed position within a time interval τ. Our primary focus is the time-reversal symmetry of these trajectories: under which conditions do the statistical properties remain invariant under the transformation t→τ−t? To address this question, we compare the stochastic differential equation describing the bridge, derived equivalently via Doob’s transform or stochastic optimal control, with the corresponding equation for the time-reversed bridge. We aim to provide a concise overview of these well-established derivation techniques and subsequently obtain a local condition for the time-reversal asymmetry that is specifically valid for the bridge. We are specifically interested in cases in which detailed balance is not satisfied and aim to eventually quantify the bridge asymmetry and understand how to use it to derive useful information about the underlying out-of-equilibrium dynamics. To this end, we derived a necessary condition for time-reversal symmetry, expressed in terms of the current velocity of the original stochastic process and a quantity linked to detailed balance. As expected, this formulation demonstrates that the bridge is symmetric when detailed balance holds, a sufficient condition that was already known. However, it also suggests that a bridge can exhibit symmetry even when the underlying process violates detailed balance. While we did not identify a specific instance of complete symmetry under broken detailed balance, we present an example of partial symmetry. In this case, some, but not all, components of the bridge display time-reversal symmetry. This example is drawn from a minimal non-equilibrium model, namely Brownian Gyrators, that are linear stochastic processes. We examined non-equilibrium systems driven by a "mechanical” force, specifically those in which the linear drift cannot be expressed as the gradient of a potential. While Gaussian processes like Brownian Gyrators offer valuable insights, it is known that they can be overly simplistic, even in their time-reversal properties. Therefore, we transformed the model into polar coordinates, obtaining a non-Gaussian process representing the squared modulus of the original process. Despite this increased complexity and the violation of detailed balance in the full process, we demonstrate through exact calculations that the bridge of the squared modulus in the isotropic case, constrained to start and end at the origin, exhibits perfect time-reversal symmetry.