Paper
Exact Moment Estimation of Stochastic Differential Dynamics
Authors
Shenghua Feng, Jie An, Naijun Zhan, Fanjiang Xu
Abstract
Moment estimation for stochastic differential equations (SDEs) is fundamental to the formal reasoning and verification of stochastic dynamical systems, yet remains challenging and is rarely available in closed form. In this paper, we study time-homogeneous SDEs with polynomial drift and diffusion, and investigate when their moments can be computed exactly. We formalize the notion of moment-solvable SDEs and propose a generic symbolic procedure that, for a given monomial, attempts to construct a finite linear ordinary differential equation (ODE) system governing its moment, thereby enabling exact computation. We introduce a syntactic class of pro-solvable SDEs, characterized by a block-triangular structure, and prove that all polynomial moments of any pro-solvable SDE admit such finite ODE representations. This class strictly generalizes linear SDEs and includes many nonlinear models. Experimental results demonstrate the effectiveness of our approach.
Metadata
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Raw Data (Debug)
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"raw_xml": "<entry>\n <id>http://arxiv.org/abs/2603.02696v1</id>\n <title>Exact Moment Estimation of Stochastic Differential Dynamics</title>\n <updated>2026-03-03T07:41:01Z</updated>\n <link href='https://arxiv.org/abs/2603.02696v1' rel='alternate' type='text/html'/>\n <link href='https://arxiv.org/pdf/2603.02696v1' rel='related' title='pdf' type='application/pdf'/>\n <summary>Moment estimation for stochastic differential equations (SDEs) is fundamental to the formal reasoning and verification of stochastic dynamical systems, yet remains challenging and is rarely available in closed form. In this paper, we study time-homogeneous SDEs with polynomial drift and diffusion, and investigate when their moments can be computed exactly. We formalize the notion of moment-solvable SDEs and propose a generic symbolic procedure that, for a given monomial, attempts to construct a finite linear ordinary differential equation (ODE) system governing its moment, thereby enabling exact computation. We introduce a syntactic class of pro-solvable SDEs, characterized by a block-triangular structure, and prove that all polynomial moments of any pro-solvable SDE admit such finite ODE representations. This class strictly generalizes linear SDEs and includes many nonlinear models. Experimental results demonstrate the effectiveness of our approach.</summary>\n <category scheme='http://arxiv.org/schemas/atom' term='eess.SY'/>\n <published>2026-03-03T07:41:01Z</published>\n <arxiv:comment>21 pages, 1 table. Accepted by FM 2026</arxiv:comment>\n <arxiv:primary_category term='eess.SY'/>\n <author>\n <name>Shenghua Feng</name>\n </author>\n <author>\n <name>Jie An</name>\n </author>\n <author>\n <name>Naijun Zhan</name>\n </author>\n <author>\n <name>Fanjiang Xu</name>\n </author>\n </entry>"
}