How to solve this Dynamic model with two state variables

18 Jun 2023
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Updated 19 Jun 2023
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Hello, I have the following equation with two state variables (M_t, and A_t) that evolve as shown in the picture. Does anyone know how to solve this equation that has two state variables in Matlab?

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Torsten
Torsten on 18 Jun 2023
I don't understand the notation of your equations. Is this a system of stochastic partial differential equations ?
Mary
Mary on 18 Jun 2023
Edited: Mary on 18 Jun 2023
Yes, and A_t evolves as a a Geometric Brownian Motion.
Torsten
Torsten on 18 Jun 2023
Edited: Torsten on 18 Jun 2023
I don't think someone in the forum has experience with SPDEs. Consult a book with MATLAB codes suited for the subject, e.g.
https://uk.mathworks.com/academia/books/an-introduction-to-computational-stochastic-pdes-lord.html

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Mary
Mary
on 18 Jun 2023

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Mary
Mary
on 19 Jun 2023

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