Covariance

Function Covariance within Stoch Processreturns the covariance of the state variable x at time t1 + dt, given the observed value x(t1) at time t1.
The interval dt is treated as small, so that if we write the SDE as dx = μ(x,t)dt + σ(x,t)dw, the coefficients μ(x,t) and σ(x,t) are kept constant during the interval dt.
Note that the dimensionality of the returned matrix is NxN where N is the dimensionality of the state variable x.