All Questions

Filter by
Sorted by
Tagged with
1
vote
0answers
30 views

Simulating Stochastic Matrix Differential Equation with Arbitrary Autocorrelation Function

I want to numerically simulate a matrix differential equation that includes a stochastic (vector) Gaussian noise $\mathbf{n}$, where the different vector components are independent, and each component ...
5
votes
1answer
137 views

Driving a system of differential equations with an AR1-Process

I have the following system of differential equations: ...
3
votes
1answer
62 views

How to plot more paths to this SDE simulation? [duplicate]

I have the following code that simulates an Ito process in Mathematica, ...