Technical Forum • Re: Breakthrough in the theory of stochastic differential equations and their simulation
Amin
Friends, I went ahead and made some changes to the conditional density generation algorithm (I am posting the new matlab program at the end of this post). Now there are no complex coefficients in the analytical module. I turned out that problem was not with correlations, I rather realized that odd and even coefficients of hermite-series have to possibly not larger than ratios applied on hermite coefficients(you can see this change in the new matlab function module named CalculateHermiteSeriesFro