This model has two state variables, X1 and X2, with dynamics

dX1 = \[Mu]1[x1,x2] dt + \[Sigma]11[x1,x2] dW1 + \[Sigma]12[x1,x2] dW2

dX2 = \[Mu]2[x1,x2] dt + \[Sigma]21[x1,x2] dW1 + \[Sigma]22[x1,x2] dW2

The two Brownian motions are independent; any correlation comes through
the off-diagonal terms in the \[Sigma] matrix.

Below is an example, with parameters a,b,c,d,g,h,r:

\[Mu]1[x1_,x2_] = a + b*x1; 
\[Mu]2[x1_,x2_] = c + d*x2; 


\[Sigma]11[x1_,x2_] = g*r*Sqrt[x1]; 
\[Sigma]22[x1_,x2_] = g*Sqrt[1-r^2]*Sqrt[x1]; 
\[Sigma]12[x1_,x2_] = 0;
\[Sigma]21[x1_,x2_] = h; 

Edit these expressions to match your model, and email to me.