New preprint! A Complete Decomposition of Stochastic Differential Equations I characterise *all possible SDEs* that satisfy given time-dependent marginals p(x,t)
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New preprint! A Complete Decomposition of Stochastic Differential Equations I characterise *all possible SDEs* that satisfy given time-dependent marginals p(x,t)
0 reposts4 likes
This work combines, unifies and generalises two of my favourite papers - Ma et al - Complete recipe for autonomous SDEs arxiv.org/abs/1506.04696 - Karras et al - Elucidating the Design Space of Diffusion arxiv.org/abs/2206.00364
Paper for full details. The proofs draw on ideas from vector calculus and Fourier analysis which was really fun to work through arxiv.org/abs/2601.07834