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Defining noise type for vector-valued homogeneous SDE #124
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This is FWIW If you divide your equation by Side note, torchsde requires that you bundle all diffusion terms together into the |
Hello,
$$dX(t) = A(t)X(t) + \sum_{j=1}^m B_j(t)X(t) dW_j(t),$$ $A(t)$ and $B_j(t)$ are square matrices and $dW_j$ is a scalar increment of $m$ -dimensional process $W(t)$ .
I would like to know what kind of
noise_type
one should pick for a homogeneous SDE:where
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