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How to deal with matrices involved in system of SDEs?

This question is in continuation of the the previous posts Solving Stochastic differential equation and Fast Simulations with Compile. What I want to do is numerically solving the epidemic model which ...
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97 views

Differential equation with random variable

How can I derive analytically or compute numerically the solution to following differential equation $$ dy/dt = y\cdot X\cdot (y\cdot X - g(y,X))\cdot X $$ where X is a random variable (e.g. from a ...
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177 views

How to implement an implicit iterative method for solving SDEs?

I wish to numerically solve the Black-Scholes SDE as follows $$ \begin{array}{lll} dX(t)&=&\mu X(t)dt+\sigma X(t)dW_t, \ \ \ 0\leq t\leq1,\\ X(t_0)&=&X(0), \end{array} $$ with the ...