Mixture Dirichlet SDE.
In a nutshell, the equation integrated governs a set of scalars, , , , as
with parameter vectors , , and , and . Here is an isotropic vector-valued Wiener process with independent increments. The invariant distribution is the Dirichlet distribution, provided the parameters of the drift and diffusion terms satisfy
To keep the invariant distribution Dirichlet, the above constraint on the coefficients must be satisfied. For more details on the Dirichlet SDE, see https:/
- namespace walker
- Walker declarations and definitions.