RODE Problems

RODE Problems

Mathematical Specification of a RODE Problem

To define a RODE Problem, you simply need to give the function $f$ and the initial condition $u₀$ which define an ODE:

\[\frac{du}{dt} = f(u,p,t,W(t))\]

where W(t) is a random process. f should be specified as f(u,p,t,W) (or in-place as f(du,u,p,t,W)), and u₀ should be an AbstractArray (or number) whose geometry matches the desired geometry of u. Note that we are not limited to numbers or vectors for u₀; one is allowed to provide u₀ as arbitrary matrices / higher dimension tensors as well.


For specifying Jacobians and mass matrices, see the DiffEqFunctions page.