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I specified a SDE for a random process $y(t)$ using ItoProcess is there a mathematica function that provides the analytic solution for $y(t)$? I know Mean[] and CovarianceFunction[] but they do not provide the analytic solution.

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  • $\begingroup$ Sadly, this isn't Mathematics.SE -- If you are having trouble with the mathematics behind a concept you are on the wrong side of town. $\endgroup$ – Sektor Aug 11 '15 at 12:50
  • $\begingroup$ I am asking for a mathematica function. I removed the other question to resolve the confusion. $\endgroup$ – Julian Karls Aug 11 '15 at 14:39
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    $\begingroup$ It seems the link on the right here does exactly what you want? $\endgroup$ – chris Aug 11 '15 at 14:59
  • $\begingroup$ @chris I think not as the link does only explain how to simulate but not how to solve an ItoProcess $\endgroup$ – Julian Karls Aug 11 '15 at 16:58
  • $\begingroup$ What's wrong with 4th : show the theoretical path intervals? $\endgroup$ – chris Aug 11 '15 at 16:59

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