I would like to study a SDE Problem with just additive white gaussian noise, but I would like also to control the value of the variance just to see what happen varying this value.
How can I do? How can build this kind of noise?
Thank you so much for the help.
Just multiply it by a value. Additive noise like
du .= a for some parameter
Ok thank you. Just let me know if I’ve correctly understood:
I define an SDE Pronlem as
SDEProblem(f,g,u0,tspan,p) and now my g function has to be simply something like this:
du .= a
Where a is the value of σ?
Yes, that would be additive Gaussian noise with a factor
Ok thank you so much! And if I would like to change the mean? (now is 0 by default I guess)
That would just correspond to a value in the drift process.
Ok, thank you so much for the help!