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

Friends, another possible route to solution of above problem when explaining variables are correlated is to somehow orthogonalize the explaining variables and then use the orthogonalized variables in our analysis. I had thought about this yesterday but problem is that every hermite polynomial component has its own correlation matrix and there is no single correlation matrix that would have to be orthogonalized. To follow the orthogonality route in our case, we would have to apply orthogonality a