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SciML / StochasticDiffEq.jl

Solvers for stochastic differential equations which connect with the scientific machine learning (SciML) ecosystem
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Correlation matrix instead of Covariance matrix? #262

Open rvignolo opened 4 years ago

rvignolo commented 4 years ago

The definition of a CorrelatedWienerProcess:

CorrelatedWienerProcess(Γ, ...)

uses Γ as the Correlation matrix, not the Covariance matrix, right?

The documentation says Covariance Matrix.

ChrisRackauckas commented 4 years ago

IIRC it's the covariance matrix, but we should double check the details on this.