Date: Oct 9, 2012 4:57 PM
Author: kumar vishwajeet
Subject: SDE toolbox for non-diagonal correlation matrix
I wanted to know if there is any SDE toolbox in MATLAB that can be used to get monte carlo(MC) simulations for the following system:
X_dot = f(X) + eta
eta_dot = f(eta) + Kappa
X_dot is nx1 vector(n>1) and so is eta_dot. eta~Gaussian colored noise with zero mean. Kappa ~ Gaussian white noise with zero mean. Correlation matrix, as such, is not diagonal. Is there any toolbox to perform fast MC simulations for such case??