pub fn corr_ou<const N: usize>(
theta: f64,
mu: SVector<f64, N>,
sigma_mat: SMatrix<f64, N, N>,
) -> Result<NdSDE<N, impl Fn(&SVector<f64, N>, f64) -> SVector<f64, N> + Send + Sync, CorrOuDiffusion<N>>, PathwiseError>Expand description
N-dimensional correlated Ornstein-Uhlenbeck process. dX = theta*(mu - X) dt + L dW where L = chol(Sigma)
Returns Err(DimensionMismatch) if sigma_mat Cholesky fails (not positive-definite).