A library of noise processes for stochastic systems like stochastic differential equations (SDEs) and other systems that are present in scientific machine learning (SciML)
It would be nice if we could extract the covariance matrix of a CorrelatedWienerprocess after it is constructed. Would it be an option to add it as a field to the NoiseProcess type?
It would be nice if we could extract the covariance matrix of a
CorrelatedWienerprocess
after it is constructed. Would it be an option to add it as a field to theNoiseProcess
type?