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SciML / DiffEqNoiseProcess.jl

A library of noise processes for stochastic systems like stochastic differential equations (SDEs) and other systems that are present in scientific machine learning (SciML)
https://docs.sciml.ai/DiffEqNoiseProcess/stable/
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Extract covariance matrix from CorrelatedWienerprocess #202

Closed oameye closed 1 month ago

oameye commented 1 month ago

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?

ChrisRackauckas commented 1 month ago

we could add it

oameye commented 1 month ago

Okay, I will make a PR this week.