Analytic Bridge Diffusions for Controlled Path Generation
Most modern bridge-diffusion methods achieve finite-time transport by specifying an interpolation, Schrödinger-bridge, or stochastic-control objective and then learning the associated score or drift field with a neural network. In contrast, we identify a restricted but sufficiently broad and analytically solvable class in which the score, intermediate marginals, and protocol gradients are available in closed form without inner stochastic simulation loops and without neural networks in the optimization loop. We recast the classical linear--quadratic--Gaussian (LQG) stochastic-control structure as a transport problem of the Path Integral Diffusion (PID) type. In classical LQG control, linear dynamics, Gaussian noise, and quadratic costs lead to Riccati equations and closed-form optimal feedback. In LQ-GM-PID, we retain the linear--quadratic stochastic-control backbone, but replace terminal state regulation by a prescribed terminal probability density and allow both the initial and terminal laws to be Gaussian Mixtures (GM). Moreover, LQ-GM-PID turns bridge diffusion from a tool for terminal target matching alone into a tool for path shaping. We demonstrate this on a 2D corridor task, a 2D multi-entrance transport task, and a high-dimensional scaling study with $d=32$ and $M=16$ Gaussian-mixture terminal modes, all with sub-50\,ms analytic precompute on a laptop. We position LQ-GM-PID as an analytically solvable reference model for the state-of-the-art neural bridge-diffusion and generative-transport methods: a controlled setting in which neural approximations, score estimates, path-shaping objectives, and protocol-learning procedures can be tested against exact quantities.