Diffusion

Function Diffusion within Stoch Processreturns the diffusion part of the SDE at a given observation time t1 when the observed value of the state variable is x1.
More specifically, if we write the SDE as dx = μ(x,t)dt + σ(x,t)dw, the diffusion part is the function σ(x,t) and this function returns the matrix of numbers σ(x1,t1)
Note that the dimensionality of the matrix σ(x1,t1) is NxN where N is the dimensionality of the state variable x.