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

. . Friends, I tried to write a good modular and re-usable code for the hermite to Gaussian correlation by Newton part of the program but it is too late at the moment so I will post a new fully commented version of the code tomorrow. Its basically very very simple and I hope most friends would like using this code. . . Code: function []= ConditionalDensityHermitesNvariateNewton()%SV SDE is %dV(t)=mu1 V(t)^beta1 dt+ mu2 V(t)^beta2 dt + sigma0 V(t)^gamma dZ(t)%In mean reverting SDEs we ususally ha