Mathematica Asked by mvc on July 25, 2021
I’ve defined the following ItoProcess
proc = ItoProcess[
{
d bj[t] == bk[t] d pj[t],
d bk[t] == bj[t] d pj[t]
},
bk[t],
{{bj, bk}, {bj0, bk0}},
t,
pj ~ GeometricBrownianMotionProcess[u, s, pj0]
]
proc evaluates to:
ItoProcess[{
{u X[t], u X[t] bk[t], u X[t] bj[t]},
{{s X[t]}, {s X[t] bk[t]}, {s X[t] bj[t]}},
bk[t]},
{{X, bj, bk}, {pj0, bj0, bk0}},
{t,0}]
However Mean[proc[t]]
or anything else I ask about proc
returns unevaluated. I’m obviously doing something wrong. Is there a way to ask Mathematica for more insight about what the error could be?
Thanks!
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