System of gamma SDEs.
This file implements the time integration of a system of stochastic differential equations (SDEs), with linear drift and linear diagonal diffusion, whose invariant is the joint gamma distribution.
In a nutshell, the equation integrated governs a set of scalars, , , as
with parameter vectors , , and . Here is an isotropic vector-valued Wiener process with independent increments. The invariant distribution is the joint gamma distribution. This system of SDEs consists of N independent equations.
- namespace walker
- Walker declarations and definitions.