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

Friends, I think I have been able to write a good basic version for Newton method for finding the correlation coefficients as described in previous programs. It seems a very major improvement on the earlier programs. Here are parameters of the SDE %SDE1 thetaV(1)=1.0; kappaV(1)=0.000; gamma(1)=.75; sigma0(1)=.5; %SDE2 thetaV(2)=1.0; kappaV(2)=0.000; gamma(2)=.65; sigma0(2)=.55; %SDE3 thetaV(3)=1.0; kappaV(3)=0.000; gamma(3)=.85; sigma0(3)=.45; and correlation matrix is given as Corr1(1,1)=1; Cor