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Conditions for Gaussianity of SDE
Fix $T>0$, $x \in \mathbb{R}^n$, and let $\mu$ and $\sigma_1,\dots,\sigma_m$ be (globally) Lipschitz-continuous functions from $[0,T]\times \mathbb{R}^n$ to $\mathbb{R}^n$. Thus, for every $0\leq ...