I have a problem with two processes X_{1, t}, X_{2, t} \in \mathbb{R} which satisfy the SDEs \begin{align} dX_{1, t} = f_1(t, X_{1, t}) \; dt + \sigma \; dW_t, \\ dX_{2, t} = f_2(t, X_{1, t}) \; dt + \sigma \; dW_t. \end{align} The functions f_i are nonlinear. The two processes share the noise \si…

This is scalar noise and is discussed here: Stochastic Differential Equations · DifferentialEquations.jl Documentation for DifferentialEquations.jl.

Simulating SDEs with shared noise in `DifferentialEquations.jl`

ChrisRackauckas February 23, 2025, 5:17pm 3

This is scalar noise and is discussed here:

1 Like

Topic		Replies	Views
How to integrate a multi dimensional SDE forced by the same source of noise? New to Julia question , diffeq	1	265	October 20, 2022
DifferentialEquations.jl SDE, multiple solvers sharing the same noise Numerics diffeq , sde	0	587	December 18, 2018
Solving Stochastic Differential Equations with Same Random Numbers Modelling & Simulations diffeq , sde	3	1827	January 7, 2018
SDEProblem driven by two different NoiseProcess(es) Modelling & Simulations diffeq , sde	2	335	April 19, 2023
Combining ODE and SDE General Usage sde , differentialequation	4	584	March 29, 2022