I'm a physics student working on a quantum information project (so please be gentle with me). My work involves stochastic processes and I'm new to the topic, so I'm asking some help about a system of differential equations involving a stochastic term. The system is:
$$\begin{cases} \dot r_1 (t)= -\omega r_2(t) \\ \dot r_2 (t)= \omega r_1(t) - \epsilon B(t) r_3(t) \\ \dot r_3 (t)=\epsilon B(t) r_2(t) \end{cases} $$
where $\omega$ and $\epsilon$ are constants. Now, if $B(t)$ were a function of time, I would call this a system of coupled ODEs. If $B(t)$ is a stochastic process (namely, a Ornstein-Uhlenbeck process), how do I call this? A system of coupled stochastic differential equations?
Can someone point me to some references on numerical solutions (I doubt there are analytical ones) of this kind of SDEs?
Is this the way the system was written in your source or was it something like this for for example the second equation?
$$\mathrm{d}r_2(t) = \omega r_1 \mathrm{d}t - \epsilon \mathrm{d}B(t) r_3(t)$$ Or I guess sometimes equivalently (although less correctly) above could be written as $$\dot{r}_2(t) = \omega r_1(t) - \epsilon \dot{B}(t)r_3(t)$$
The solution of an equation like that would require Ito calculus. The thing you've written down could in principle be integrated with regular calculus actually, because there are no $\mathrm{d}B$ terms. Of course the solution would still be a stochastic process, but the integrals involved are just Riemann Stieltjes.
$B(t)$ is a function of time. It's a collection of random variables parametrized by time. Also usually $B(t)$ just denotes a Brownian motion; are you sure it's supposed to be an OU process? Nothing wrong with that mathematically just strange notation.
Yes you could call this a system of SDEs or coupled SDEs anything like that.
The standard reference for numerics is Kloeden/Platen. If you want something more brief this is good too:
An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations
But again you only need to worry about the subtleties of stochastic calculus if in fact you wrote these equations down wrong. If you really wanna solve the system you have above you could just generate samples of $B(t)$ and use a regular numerical ode solver.