This file implements the time integration of a system of stochastic differential equations (SDEs), whose invariant is the joint skew-normal distribution.
In a nutshell, the equation integrated governs a set of scalars, , , as
The invariant distribution is the joint skew-normal distribution
Here , are time scales, are variance parameters, is an isotropic Wiener process with independent increments, and are the parameters that control the asymmetry and skewness for variable : and give negative and positive skewness, respectively, while reduces the system to a set of independent Ornstein-Uhlenbeck processes. See also DiffEq/DiagOrnsteinUhlenbeck.h. For more details on the skew-normal distribution, see http://www.jstor.org/stable/2337278.
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