Allow Dynamical problem to have non diagonal noise

Author: Hadrien

src/solve.jl

@@ -210,10 +210,13 @@ function DiffEqBase.__init(
   end
   rateType = typeof(rate_prototype) ## Can be different if united
 
-  if prob.f isa DynamicalSDEFunction
-    noise_rate_prototype = rate_prototype.x[1]
-  elseif is_diagonal_noise(prob)
-    noise_rate_prototype = rate_prototype
+
+  if is_diagonal_noise(prob)
+    if prob.f isa DynamicalSDEFunction
+      noise_rate_prototype = rate_prototype.x[1]
+    else
+      noise_rate_prototype = rate_prototype
+    end
   elseif prob isa DiffEqBase.AbstractRODEProblem
     if prob isa DiffEqBase.AbstractSDEProblem
       noise_rate_prototype = copy(prob.noise_rate_prototype)
@@ -287,7 +290,7 @@ function DiffEqBase.__init(
   else
     randElType = uBottomEltypeNoUnits # Strip units and type info
     if prob.f isa DynamicalSDEFunction
-      rand_prototype = copy(noise_rate_prototype)
+      rand_prototype = copy(rate_prototype.x[1]) # Noise is a vector of the same size than the number of variables
     elseif is_diagonal_noise(prob)
       if typeof(u) <: SArray
         rand_prototype = zero(u) # TODO: Array{randElType} for units