Technical Forum • Re: Breakthrough in the theory of stochastic differential equations and their simulation

Here is the matlab code with light comments to explain the logic of Newton method. These are only functions related to over-constrained Newton root search. . . . Code: function [cnOptim] = OptimizeCorrFromHermitesNewton(Zy,Zx,cnn,HCorrXX,NDims,paths,Order)%Order;Max Order of Hermites Calibration is seven.%Zx is paths X K array for joint values of Zx arranged for "paths" number of observations%Zy is paths X 1 array for Zy associated with each obsewrvation.%cnn is the original input of correlation