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 normal distribution) and g is a known function of y and X, e.g. $g=E[(y\cdot X)^2]$ ?
ItoProcess
and similar. Maybe you could post a more specific example. $\endgroup$ – b.gates.you.know.what Jan 9 '14 at 15:35WhenEvent
, possibly in conjunction withDiscreteVariables
(which might change values according to your random distribution). $\endgroup$ – Daniel Lichtblau Jan 9 '14 at 16:16