Hi! I’m trying to implement the 3-dim complex valued DE
du/dt = (alpha(t) + beta(t))*u(t)
alpha(t) is a 3-dim OU process and
beta(t) is a 1-dim OU process (mean 0) with a given covariance E[beta(t)beta(s)] = f(s,t).
I tried to solve the DE with both SDEProblem and RODEProblem. Both methods work well when there is just one noise, but I don’t know how to implement the DE with two noises.
function f(du, u, p, t, W) du .= u .* (W + W) end W = [alpha, beta] prob = RODEProblem(f, u0, tspan, noise = W, noise_prototype = zeros(2, 3))
does not work (because W is not 1 process). Also in SDE I don’t know how to do it. Is there another function I could use?
Could someone please help me? Thanks in advance!