How to solve this Dynamic model with two state variables

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?

4 commentaires

I don't understand the notation of your equations. Is this a system of stochastic partial differential equations ?
Mary
Mary le 18 Juin 2023
Modifié(e) : Mary le 18 Juin 2023
Yes, and A_t evolves as a a Geometric Brownian Motion.
Torsten
Torsten le 18 Juin 2023
Modifié(e) : Torsten le 18 Juin 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.
Thanks

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Question posée :

le 18 Juin 2023

Commenté :

le 19 Juin 2023

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