Optimal control formulation of transition path problems for Markov Jump Processes

Abstract

We formulate the transition path problem for Markov jump processes as a stochastic optimal control problem on path space. Transitions between metastable sets are induced by an unbounded terminal cost at a stopping time together with controlled modification of jump rates. The running cost takes an entropic form arising naturally from the Girsanov transform for jump processes, allowing both finite- and infinite-horizon formulations to be expressed as optimal changes of measure relative to a reference process. We prove that the optimal path measure admits an explicit representation in terms of the committor function, which solves an elliptic boundary value problem. The singular control induced by the terminal cost is obtained via $\Gamma$-convergence, yielding a limiting controlled process whose transition rates correspond to a Doob-h transform. The optimally controlled process generates transition paths almost surely while preserving the bridges of the reference process.

30 pages