Complex SDEs + Sparse operations + real Wiener noise

[Aaron_Villanueva]

I am trying to solve ComplexF64 Stochastic Differential Equations with m-dim real Wiener noise.
The drift and diffusion functions must handle sparse operations to support large systems.
I run into some troubles in making the algorithm to work using the tools from DifferentialEquations.jl

[gdalle]

Welcome @Aaron_Villanueva! It is really hard to help you without a concrete example to work on. Can you post the exact code that you failed to run, so that others may take a look?

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[ChrisRackauckas]

Indeed we have some particle physicists who were early users so RealWienerProcess(n) is pretty well supported. It would be interesting to see what kind of code you’re trying.