Expectation

Function Expectation within Stoch Processreturns the expectation 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 array is the same with the dimensionality of the state variable x.