4 edited tags | link edited Jul 18 '18 at 8:03 rhermans 24.1k44 gold badges4242 silver badges110110 bronze badges Tweeted twitter.com/#!/StackMma/status/445152258360352768 occurred Mar 16 '14 at 10:59 3 deleted 248 characters in body edited Mar 15 '14 at 14:30 Tamas 4044 bronze badges According to the following reference page http://reference.wolfram.com/language/ref/ItoProcess.html The driving process dproc can be any process that can be converted to a standard Ito process and Processes proc that can be converted to standard ItoProcess form include OrnsteinUhlenbeckProcess, GeometricBrownianMotionProcess, StratonovichProcess, and ItoProcess. However, it does not seem to work in my example as follows: OUmodproc = ItoProcess[\[DifferentialD]x[t]ItoProcess[\[DifferentialD]x[ t] == -x[t] \[DifferentialD]t + \[DifferentialD]w[t], x[t], {x, 1}, t, w \[Distributed] OrnsteinUhlenbeckProcess[0, 1, 1]] (* ItoProcess[\[DifferentialD]x[ t] == \[DifferentialD]w[t] - \[DifferentialD]t x[t], x[t], {x, 1}, t, w \[Distributed] OrnsteinUhlenbeckProcess[0, 1, 1]] *) RandomFunction[OUmodRandomFunction[proc, {0., 5., 0.01}] ListLinePlot[%, Filling -> Axis] During evaluation of In[33]:= RandomFunction::unsproc: The specification ItoProcess[\[DifferentialD]x[t]==\[DifferentialD]w[t]-\[DifferentialD]t x[t],x[t],{x,1},t,w\[Distributed]OrnsteinUhlenbeckProcess[0,1,1]] is not a random process recognized by the system. (* RandomFunction[ ItoProcess[\[DifferentialD]x[ t] == \[DifferentialD]w[t] - \[DifferentialD]t x[t], x[t], {x, 1}, t, w \[Distributed] OrnsteinUhlenbeckProcess[0, 1, 1]], {0., 5., 0.01}] *)  which resulted in the error: RandomFunction::unsproc: The specification ItoProcess[[DifferentialD]x[t]==[DifferentialD]w[t]-[DifferentialD]t x[t],x[t],{x,1},t,w[Distributed]OrnsteinUhlenbeckProcess[0,1,1]] is not a random process recognized by the system. Note that in defining the ItoProcess proc like above, w \[Distributed] WienerProcess[0,1] would work, but w \[Distributed] OrnsteinUhlenbeckProcess[0, 1, 1] does not. According to the following reference page http://reference.wolfram.com/language/ref/ItoProcess.html The driving process dproc can be any process that can be converted to a standard Ito process and Processes proc that can be converted to standard ItoProcess form include OrnsteinUhlenbeckProcess, GeometricBrownianMotionProcess, StratonovichProcess, and ItoProcess. However, it does not seem to work in my example as follows: OUmod = ItoProcess[\[DifferentialD]x[t] == -x[t] \[DifferentialD]t + \[DifferentialD]w[t], x[t], {x, 1}, t, w \[Distributed] OrnsteinUhlenbeckProcess[0, 1, 1]] (* ItoProcess[\[DifferentialD]x[ t] == \[DifferentialD]w[t] - \[DifferentialD]t x[t], x[t], {x, 1}, t, w \[Distributed] OrnsteinUhlenbeckProcess[0, 1, 1]] *) RandomFunction[OUmod, {0., 5., 0.01}] ListLinePlot[%, Filling -> Axis] During evaluation of In[33]:= RandomFunction::unsproc: The specification ItoProcess[\[DifferentialD]x[t]==\[DifferentialD]w[t]-\[DifferentialD]t x[t],x[t],{x,1},t,w\[Distributed]OrnsteinUhlenbeckProcess[0,1,1]] is not a random process recognized by the system. (* RandomFunction[ ItoProcess[\[DifferentialD]x[ t] == \[DifferentialD]w[t] - \[DifferentialD]t x[t], x[t], {x, 1}, t, w \[Distributed] OrnsteinUhlenbeckProcess[0, 1, 1]], {0., 5., 0.01}] *)  According to the following reference page http://reference.wolfram.com/language/ref/ItoProcess.html The driving process dproc can be any process that can be converted to a standard Ito process and Processes proc that can be converted to standard ItoProcess form include OrnsteinUhlenbeckProcess, GeometricBrownianMotionProcess, StratonovichProcess, and ItoProcess. However, it does not seem to work in my example: proc = ItoProcess[\[DifferentialD]x[ t] == -x[t] \[DifferentialD]t + \[DifferentialD]w[t], x[t], {x, 1}, t, w \[Distributed] OrnsteinUhlenbeckProcess[0, 1, 1]] RandomFunction[proc, {0., 5., 0.01}] ListLinePlot[%, Filling -> Axis]  which resulted in the error: RandomFunction::unsproc: The specification ItoProcess[[DifferentialD]x[t]==[DifferentialD]w[t]-[DifferentialD]t x[t],x[t],{x,1},t,w[Distributed]OrnsteinUhlenbeckProcess[0,1,1]] is not a random process recognized by the system. Note that in defining the ItoProcess proc like above, w \[Distributed] WienerProcess[0,1] would work, but w \[Distributed] OrnsteinUhlenbeckProcess[0, 1, 1] does not. 2 deleted 621 characters in body edited Mar 15 '14 at 10:04 Dr. belisarius 108k1111 gold badges173173 silver badges390390 bronze badges According to the following reference page http://reference.wolfram.com/language/ref/ItoProcess.html The driving process dproc can be any process that can be converted to a standard Ito process and Processes proc that can be converted to standard ItoProcess form include OrnsteinUhlenbeckProcess, GeometricBrownianMotionProcess, StratonovichProcess, and ItoProcess. However, it does not seem to work in my example as follows: In[32]:= OUmod = ItoProcess[\[DifferentialD]x[ t]ItoProcess[\[DifferentialD]x[t] == -x[t] \[DifferentialD]t + \[DifferentialD]w[t], x[t], {x, 1}, t, w \[Distributed] OrnsteinUhlenbeckProcess[0, 1, 1]]   Out[32]=(* ItoProcess[\[DifferentialD]x[ t] == \[DifferentialD]w[t] - \[DifferentialD]t x[t], x[t], {x, 1}, t, w \[Distributed] OrnsteinUhlenbeckProcess[0, 1, 1]] *) In[33]:= RandomFunction[OUmod, {0., 5., 0.01}] ListLinePlot[%, Filling -> Axis] During evaluation of In[33]:= RandomFunction::unsproc: The specification ItoProcess[\[DifferentialD]x[t]==\[DifferentialD]w[t]-\[DifferentialD]t x[t],x[t],{x,1},t,w\[Distributed]OrnsteinUhlenbeckProcess[0,1,1]] is not a random process recognized by the system. Out[33]= (* RandomFunction[ ItoProcess[\[DifferentialD]x[ t] == \[DifferentialD]w[t] - \[DifferentialD]t x[t], x[t], {x, 1}, t, w \[Distributed] OrnsteinUhlenbeckProcess[0, 1, 1]], {0., 5., 0.01}]] *)  According to the following reference page http://reference.wolfram.com/language/ref/ItoProcess.html The driving process dproc can be any process that can be converted to a standard Ito process and Processes proc that can be converted to standard ItoProcess form include OrnsteinUhlenbeckProcess, GeometricBrownianMotionProcess, StratonovichProcess, and ItoProcess. However, it does not seem to work in my example as follows: In[32]:= OUmod = ItoProcess[\[DifferentialD]x[ t] == -x[t] \[DifferentialD]t + \[DifferentialD]w[t], x[t], {x, 1}, t, w \[Distributed] OrnsteinUhlenbeckProcess[0, 1, 1]]   Out[32]= ItoProcess[\[DifferentialD]x[ t] == \[DifferentialD]w[t] - \[DifferentialD]t x[t], x[t], {x, 1}, t, w \[Distributed] OrnsteinUhlenbeckProcess[0, 1, 1]] In[33]:= RandomFunction[OUmod, {0., 5., 0.01}] ListLinePlot[%, Filling -> Axis] During evaluation of In[33]:= RandomFunction::unsproc: The specification ItoProcess[\[DifferentialD]x[t]==\[DifferentialD]w[t]-\[DifferentialD]t x[t],x[t],{x,1},t,w\[Distributed]OrnsteinUhlenbeckProcess[0,1,1]] is not a random process recognized by the system. Out[33]= RandomFunction[ ItoProcess[\[DifferentialD]x[ t] == \[DifferentialD]w[t] - \[DifferentialD]t x[t], x[t], {x, 1}, t, w \[Distributed] OrnsteinUhlenbeckProcess[0, 1, 1]], {0., 5., 0.01}]  According to the following reference page http://reference.wolfram.com/language/ref/ItoProcess.html The driving process dproc can be any process that can be converted to a standard Ito process and Processes proc that can be converted to standard ItoProcess form include OrnsteinUhlenbeckProcess, GeometricBrownianMotionProcess, StratonovichProcess, and ItoProcess. However, it does not seem to work in my example as follows: OUmod = ItoProcess[\[DifferentialD]x[t] == -x[t] \[DifferentialD]t + \[DifferentialD]w[t], x[t], {x, 1}, t, w \[Distributed] OrnsteinUhlenbeckProcess[0, 1, 1]] (* ItoProcess[\[DifferentialD]x[ t] == \[DifferentialD]w[t] - \[DifferentialD]t x[t], x[t], {x, 1}, t, w \[Distributed] OrnsteinUhlenbeckProcess[0, 1, 1]] *) RandomFunction[OUmod, {0., 5., 0.01}] ListLinePlot[%, Filling -> Axis] During evaluation of In[33]:= RandomFunction::unsproc: The specification ItoProcess[\[DifferentialD]x[t]==\[DifferentialD]w[t]-\[DifferentialD]t x[t],x[t],{x,1},t,w\[Distributed]OrnsteinUhlenbeckProcess[0,1,1]] is not a random process recognized by the system. (* RandomFunction[ ItoProcess[\[DifferentialD]x[ t] == \[DifferentialD]w[t] - \[DifferentialD]t x[t], x[t], {x, 1}, t, w \[Distributed] OrnsteinUhlenbeckProcess[0, 1, 1]], {0., 5., 0.01}] *)  1 asked Mar 15 '14 at 9:52 Tamas 4044 bronze badges