matrix SDE problem with non-diagonal noise

[maol17]

Hi,

I'm trying to solve the matrix SDE problem
$dA = AD_1 dW_1+D_2AdW_2$,
where $A$, $D_1$ and $D_2$ are $n\times n$ matrices.
I'm wondering what noise prototype I should use? I tried noise_rate_prototype=zeros(n,n,2) but it doesn't work

[ChrisRackauckas]

For the noise prototype you need to consider it in the vec(u) form as a linear operator, i.e. in the column-order definition of u as a vector. Not the best but it will work.