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A Complete Decomposition of Stochastic Differential Equations
Published: January 12, 2026 |
arXiv ID: 2601.07834v1
By: Samuel Duffield
Potential Business Impact:
Helps predict how things change over time.
Business Areas:
Prediction Markets
Financial Services
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.
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