1
$\begingroup$

Hi I would like to manipulate user defined Ito processes, say multiply my process by a deterministic function . Thanks in advance

 LFD = ItoProcess[\[DifferentialD]x[t] == 
 x[t]  \[DifferentialD]t + 
 Sqrt[ x[t]] \[DifferentialD]w[t], x[t], {x, ϵ},
 t, w \[Distributed] WienerProcess[]]

 L1 = TransformedProcess[b[t]   Exp[ -  t] , b \[Distributed] LFD, t]
|improve this question
$\endgroup$
  • 2
    $\begingroup$ it works as is, no? Try, for example, \[Epsilon]=10;data=RandomFunction[L1, {0,10,.1},5];ListLinePlot[data] . $\endgroup$ – kglr Oct 21 '18 at 17:42

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.