I was trying to apply the method described at
for a matrix valued variable, e.g.
f(du,u,p,t) = du .= 1.01u function g(du,u,p,t) du[1,1,1] = 1.0 du[1,2,1] = 1.0 du[2,1,2] = 1.0 du[2,2,2] = 1.0 du[3,1,3] = 1.0 du[3,2,3] = 1.0 end prob = SDEProblem(f,g,ones(3,2),(0.0,1.0),noise_rate_prototype=zeros(3,2,3))
with the intention that the last dimension of the noise_rate_prototype would define the number of independent Wiener processes, and would be matrix multiplied over to get the right dimensions for my matrix variable.
Unfortunately, this doesn’t work, and I was wondering if this is just not supported, or what the correct syntax for such a system would be.
Many thanks for your help!