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Mean of ItoProcess

Mathematica Asked on December 7, 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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