Appendix A.1. Stochastic Equations Forward and Backward in Time
Consider a family of stochastic
Markov diffusion processes that has the same semigroup generator coefficients
and
and is governed by the following system of
Ito stochastic differential equations (SDEs)
The default Einstein summation convention applies here and throughout the Paper, while
denotes independent
Wiener processes. In addition to the process (
A1) defined forward in time, we can introduce the reversed time
and run another process
forward in time
and backward in time
t, as specified by the stochastic differential equation
The drift and diffusion coefficients
and
are generally different from
and
. While we are interested in cases and conditions under which the processes
and
are equivalent, we do not imply yet at this stage any equivalence or similarity of
and
and treat these processes in (
A1) and (
A2) as being different. As demonstrated by Anderson [
18],
is related to
but with some adjustments to preserve the retrocasual structure of the reverse-time stochastic integrals and ensure that
in a strong sense. Here, we just assume that
is another equivalent Wiener process.
It should be noted that Ito calculus is time-directional enforcing independence of
of
when
. This understanding is implemented in the numerical definition of the product
in the corresponding stochastic integral, where
is evaluated using the value of
at the beginning of each time step. A more general approach can be formally expressed as
, implying that
is evaluated as
where
and
corresponds to the Ito definition,
to the Stratanovich definition, and
to the anti-Ito definition of the stochastic integral and the corresponding differential equations. Note that, when time is reversed, the Ito definition is converted into the anti-Ito definition, rather than yielding the Ito definition evaluated backward in time, that is
. Only the
Stratanovich formulation of SDEs, which has
and is conventionally denoted by
is time-symmetric, corresponding to the same Stratanovich formulation when evaluated backward in time. Note that while Stratanovich calculus removes some temporal asymmetry of the Ito calculus, it is still conceptually related to Ito calculus and, similar to Ito calculus, has some inherent directionality of time built-in into its foundation. The Stratanovich SDE that corresponds to (
A1) is specified by the following equation with the new drift
adjusted by removing diffusion-generated drift component from
Here, and further in this appendix,
denotes the partial derivative
The relation between Ito drift
and Stratanovich drift
can be easily obtained by expanding
into a series and substituting
and
. The Stratanovich SDE for the time-reversed process (
A2) is given by a similar equation
where
and
are used. Note that these are the Stratanovich drift coefficients
and
that are treated here as physical quantities, while the Ito drift coefficients
and
involve mathematical corrections merely reflecting temporal asymmetry of the Ito formulation. As one can see below, the physical drift term and the diffusion-induced drift adjustment change differently under time reversal.
It is also worthwhile to consider the process
defined by (
A4) as being parametrised by direct time
, that is
. Note that
is generally different from
. In line with antisymmetric time reversal (
9), we can assume
use
and
to obtain
This is still reverse-time process
, but parametrised by
t instead of
while the processes
and
may or may not be equivalent. The apparent similarity of Equations (
A6) and (
A3) is deceiving: note that
in (
A3) but
This is a principal change associated with time reversal of diffusion, which cannot be removed by a mere replacement of variables.
Note that the antisymmetric assumption is consistently applied here to the Stratanovich drifts while the Ito drifts are generally different, assuming would constitute a different physical assumption that would result in a more restrictive understanding and equations.
Appendix A.2. Transitional Probabilities and Markov Properties
The
Markov property is fundamental to the stochastic equations and is conventionally interpreted in time-directional manner: the future does not depend on the past when the present is given. Note that this also means that the past is independent of the future when the present is given. Assuming
we can write for conditional probabilities of
or equivalently
Here, (
) denotes condition
and
represents the conditional (or transitional in the Markov context) probability of event A given event B. Note that independence of the future from the past also means that the past does not depend on the future when the present is given. Hence, both Equations (
A7) and (
A8) are valid for both processes. In time-symmetric interpretations, the Markov property resembles properties of Gibbs fields [
26] on linear topology: this property implies that for any
by
While the Markov property is objectively time-symmetric, all principal formulations of stochastic calculus—the Ito, Stratonovich, and Skorokhod versions—incorporate at least some time-directionality, albeit to different extents.
The application of conditional version of the probabilistic rules to the process
within, assuming that the times are ordered as
, gives
which uses Markov property (
A7) and reflects conventional probability manipulations according to Bayes theorem
. We also need a similar expression for the reverse-time process
: note that the Markov properties (
A7)–(
A9) are equivalently valid for
Equation (
A10) then becomes
where Markov property (
A8) is applied to the process
and (
) denotes the condition
.
Appendix A.3. Kolmogorov Equations for Transitional Probabilities
The transitional probabilities for a Markov diffusion process depend only on diffusion and drift coefficients and on the conditions that explicitly define these probabilities but not on any other initial or final conditions that may constrain the overall distribution. The transitional probabilities
and
of the direct-time Markov diffusion process
defined by Ito SDE (
A1), respectively, satisfy the following
Kolmogorov forward and backward equations [
17]
where
is symmetric. Here and throughout the paper, we imply
and
meaning that derivatives are applied to the first two arguments of the functions. The functional arguments may be omitted when the context makes this clear. The forward (
A12) and backward (
A13) equations are formulated for the direct-time Markov diffusion process
(
A1), have adjoint operators on their right-hand sides, and should not be confused with the corresponding equations for the reverse-time Markov diffusion process
. The reverse-time Markov diffusion process
defined by Ito SDE (
A2) has Kolmogorov forward and backward equations for corresponding transitional probabilities
and
given by
where
. These equations are generally different from those for the direct-time process
In the Stratanovich interpretation, the Kolmogorov equations are transformed into
for the direct-time process
and into
for the reverse-time process
where we substitute the definitions of
and
. The boundary conditions imposed on
and
remain the same as in Equations (
A12)–(
A15).
Note that according to the definitions of the transitional probabilities
and
require that for any
While Kolmogorov forward and backward equations specifically govern transitional probabilities of a Markov diffusion process, the Fokker–Planck equation governs diffusive evolution of a more general class of probabilistic distributions. The forms of the Fokker–Planck and Kolmogorov forward equations coincide and these terms are often used synonymously, but there still remains a subtle difference between them. While
and
and
represent transitional probabilities, physical interpretation of equations involving forward and backward parabolicities may differ in different applications. For example, in Conditional Moment Closure [
27], (
A14) corresponds to a probability density function, while (
A15) governs the conditional expectation of a scalar.
Appendix A.4. Markov Diffusion Bridge
At this stage, we turn from consideration of Markov diffusion families, semigroups, and transitional probabilities to specific processes that are subject to fixed initial and/or final conditions. While realisations of Wiener process are time-symmetric—Wiener process viewed in reverse time is still an equivalent Wiener process– processes
and
may or may not have similar time-symmetric statistics even if the temporal boundary conditions imposed on them are time-symmetric. The term
bridge is conventionally used to emphasise setting two conditions—initial and final—instead of the common preference for initial conditions only, which is usually justified by antecedent causality. We impose the same temporal boundary conditions on both
and
From now on,
and
are fixed parameters. At this point, we define a new function
f that corresponds to the bridge-conditioned probability
so that Equation (
A10) takes the form
where
C is defined by
that is
. For the distribution of the reverse process
Equation (
A11) takes the form
where
is defined by
(implying
).
The model specified by (
A3) or (
A6) in conjunction with (
A19) and (
A20) can also be referred to as a
Schrödinger bridge [
28], which usually refers to a broader range of problems associated with finding probability density
that is compliant with the initial and terminal conditions
The modern interpretation of Schrödinger bridges has evolved towards broader understanding of the problem including transport optimisation. Given conditional probability
and Markov property (
A9), the solution of (
A23) can be evaluated by convolution of
f with
and
, as demonstrated by Schrödinger in their principal work [
28]. While discussion of a broader spectrum of issues associated with Schrödinger bridges is outside the scope of the present publication, it can be found in the excellent overview by Chetrite et al. [
29].
Appendix A.5. Doob’s Transform and Anderson’s Reversal for the Markov Bridge
In this section, we assume that the processes
and
have the same drift and diffusion coefficients as specified by antisymmetric relations in (
A5) in conjunction with the Stratanovich interpretation
of the SDEs. The question becomes whether this ensures that the processes
and
which are subject to the same boundary conditions (
A19) and (
A20), are equivalent, and, therefore, have the same distributions
f and
. The answer is generally negative. Indeed, let us assume that
is a smooth solution in the domain
and create a small variation
of drift
mostly concentrated in a small vicinity of a selected point
within the domain (i.e.,
) so that
. This alteration would affect functions
and
much more than
and
, since the former but not the latter are governed by conservative equations. These local disturbances
are created by the same drift variation preserving the similarity of the overall distributions
. These disturbances, however, would diffuse downstream
from
for
and upstream
from
for
violating the similarity of
f and
. If
, then the direct-time and reverse-time processes are generally different and require selection of a preferred time direction to describe the laws of nature. Having a preferred direction of time corresponds to some form of antecedent causality.
According to (
A12) and (
A13),
satisfies the following equation
where
and
Equation (
A24) is interpreted as a direct-time
Kolmogorov forward (Fokker–Planck) equation with
Stratanovich diffusion
and drift
coefficients, where
f is the transitional probability from the state
to the state
While imposing the initial condition (
A26) (a) on
f remains essential, the final condition (
A26) (b) is automatically satisfied due to the additional drift component
which represents
Doob’s correction drift. Note that, due to absence of time reversal, this correction is the same for both Stratanovich and Ito formulations. Equation (
A24) implements
Doob’s h-transform [
30] in direct Kolmogorov equation, where the conditioning function
is used to enforce the final conditions (
A26) (b) upon
f.
Now, we turn to consider the reverse-time process
and its distribution function
, which, according to (
A14) and (
A15), satisfies the following equation
where
and
For the sake of comparison with (
A24), Equation (
A27) characterising the reverse-time process is written as direct-time Fokker–Planck with Stratanovich diffusion
and drift
coefficients and, therefore, involves a time reversal. The additional drift
specified by (
A28) is
Stratanovich form of the
Anderson’s correction drift. This correction ensures a consistent antisymmetric time reversal of a Markov diffusion process [
18], although here we reverse the reverse-time process
to run it forward in time—let us denote this process
We emphasise that this reversal is not only a reversal of the Fokker–Planck equation for
that is consistent with the behaviour of
at the final state, but also time reversal of the underlying stochastic process. According to the
Anderson theorem [
18], which goes beyond an earlier result by Stratanovich [
31], processes
and
are equivalent—this theorem guaranties not only probabilistic equivalence of the processes obtained by Anderson’s reversal but, under specified conditions, also does this in a strong sense implying equivalence of the original and time-reversed stochastic trajectories.
Equation (
A27) governs probability distribution
for both processes
and
, so that
automatically satisfies the final condition (
A29) (b). Due to the initial condition (
A29) (a), this
can be interpreted as the transitional probability from the state
to the state
and (
A27) as the corresponding direct-time
Kolmogorov forward equation. While processes
and
are equivalent, this is not necessarily the case for
and
—these processes have not been converted using Anderson’s reversal and, indeed, Equations (
A24) and (
A27) can have different drifts
when
.
The expressions for Anderson’s drift
and Doob’s drift
are similar but not the same—these two approaches enforce the same final conditions but do this differently, with and without the reversal of time. If, however,
then the Kolmogorov forward Equations (
A24) and (
A27) have exactly the same diffusion
and drift
coefficients and the same initial conditions, then the underlying stochastic processes
and
are also equivalent. Therefore,
when
so that:
While Equations (
A24) and (
A27) are formulated to evolve forward in time, we could have selected the reverse time
for comparison of
f and
—our formulation is fully time-symmetric. This would lead to the complimentary condition
which can also be derived from
and (
A30).
Our analysis results in the following theorem:
Theorem A1. With consistent choice of the diffusion and drift coefficients, the direct-time and reverse-time formulations of the Markov diffusion bridge problem are fully time-symmetric and equivalent if and only if Doob’s transform and Anderson’s reversal correction drifts coincide.
Indeed, Anderson’s theorem establishes the fundamental equivalence of the reverse-time process and its time reversal running forward in time—both processes have the same distribution When Anderson’s and Doob’s drifts coincide , the processes and have the same initial condition, and the same drift and diffusion coefficients in the direct-time Kolmogorov forward equations and, therefore, must be equivalent. If then the processes have different drift coefficients and, therefore, are not equivalent irrespective whether f and coincide or not. This proves the theorem.
The consistency of drift and diffusion coefficients in direct-time and reverse-time models specified by (
A5) appears to be insufficient to ensure that Equations (
A24) and (
A27) are exactly the same due to possible differences between Doob’s and Anderson’s correction drifts,
and
. The equivalence of Equations (
A24) and (
A27) and the corresponding processes can nevertheless be achieved but requires additional conditions that are discussed in the next subsection.
Appendix A.6. Antisymmetric Time Reversal and Odd Symmetry
In line with antisymmetric time reversal (
9), (
A5), and due to physical reasons discussed in the main text, we restrict our attention to the case
which ensure that
These conditions are important for entropy-consistent formulation of the model that preserves the phase volume and
odd symmetry implies in this work that these conditions are satisfied. With conditions (
A32), Equations (
A16) and (
A17) are transformed to take the form of the Markov bridge model with odd symmetry:
where new adjoint operators
are introduced. Under these conditions, the dynamic the direct-time and reverse-time model are fully equivalent. Due to (
A18) and (
A33), this model is complaint with the odd-symmetric analogue
of the even-symmetric detailed balance considered in
Appendix B. Note that Equations (
A35) and (
A36) allow only for constant steady-state solutions (see
Section 3.1).
The key point is presented in the form of the proposition:
Proposition A1. Doob’s transform and Anderson’s reversal corrections coincide under odd-symmetric conditions specified in (A32). Therefore, under these conditions, the Markov bridge problem is fully time-symmetric and the direct-time and reverse-time formulations of the problem are equivalent. Indeed, substitution of the odd-symmetric conditions of (
A32) into Equations (
A16) and (
A17) with boundary conditions taken from (
A12)–(
A15) results in
and
which, with the use of
ensures that condition (
A30) is satisfied. Therefore,
in (
A24) and (
A27) and, according to Theorem A1, the problem is time-symmetric, implying that solving the Markov bridge problem for
or for
is mathematically and physically equivalent.
Note that condition (
A30) represents
n scalar equations
(where
n is the number of variables) with
independent input values in
with only two scalar functions
and
to satisfy it—in general, Equation (
A30) is overdetermined. While constrains (
A32) are sufficient for proper antisymmetric reversibility, are they necessary to ensure that
? The answer is negative and the class of solutions satisfying
is substantially wider. For example, it is easy to see that if
then the conditions (
A30) and (
A31) as well as Equations (
A16) and (
A17) are satisfied by