If we want to have $dX = sigma(t) * dWt$, should we just add an extra variable $dt = 1 *dt$ and then use this variable as time ?
For instance,
# x[0] = time, x[1] = X, dX = (cos(t)+1.1) * dWt
pychastic.sde_problem.SDEProblem(
lambda x: jnp.array([1., 0.]),
lambda x: jnp.array([[0, 0], [0, (jnp.cos(x[0]) + 1.1)]]),
x0=[0, 1],
tmax=10,
)
It works as expected but would it be better to have for drift and noise, a signature like lambda t,x: ... ?
If we want to have$dX = sigma(t) * dWt$ , should we just add an extra variable $dt = 1 *dt$ and then use this variable as time ?
For instance,
It works as expected but would it be better to have for drift and noise, a signature like
lambda t,x: ...?