A Complete Decomposition of Stochastic Differential Equations
Abstract
We show that any stochastic differential equation with prescribed time-dependent marginal distributions admits a decomposition into three components: a unique scalar field governing marginal evolution, a symmetric positive-semidefinite diffusion matrix field and a skew-symmetric matrix field.
Fields of Study & Subjects
Stochastic processes and financial applications
Stochastic processes and statistical mechanics
Geometric Analysis and Curvature Flows
Publication details
- Journal / source
- arXiv (Cornell University)
- Publication date
- 12 January 2026
- Document type
- Preprint