I managed to simulate (with
EnsembleProblem ) 1000 paths of a 2-dimensional SDE. Let’s call the one dimensional components x(t) and y(t). I have some problems handling the solution to the problem: the paths are of different lengths ( hence I cannot call Array(sol) ) and the solutions’ “u” are computed at different times, is this normal as the default behaviour?. I’d like to know how to get for each path the cumulative time integral of x(t)*y(t), and then compute the Monte Carlo average across the paths.
I include some code for reference:
X₀ = [0.01, p.ωb] prob_x = SDEProblem(μ, Σ, X₀, T_span, p, noise_rate_prototype = zeros(2, 2)) ensembleprob = EnsembleProblem(prob_x) sol_SDE = solve(ensembleprob, EnsembleThreads(), trajectories = 1000)