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and does the trick of adding the time dimension work ? or is it highly unstable ?
and is the complexity for nonautonomous equations independent of the noise/drift expressions (for instance if they are linear in the other variables or even constant in the other variables, i.e. only time dependent) ?
If we want to have$dX = sigma(t) * dWt$ , should we just add an extra variable $dt = 1 *dt$ and then use this variable as time ?
For instance,
It works as expected but would it be better to have for drift and noise, a signature like
lambda t,x: ...
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