How to custom noise

Specific Domains Modelling & Simulations
1

Hi everyone,

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.

Best regards

Francesco

2

Just multiply it by a value. Additive noise like du .= a for some parameter a.

3

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:

function g(du,u,p,t)

 du .= a

  return nothing

end

Where a is the value of σ?

4

Yes, that would be additive Gaussian noise with a factor a*dW

5

Ok thank you so much! And if I would like to change the mean? (now is 0 by default I guess)

6

That would just correspond to a value in the drift process.

7

Ok, thank you so much for the help!

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