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

Friends, I could not do the correlated case by the recursive method I was suggesting but I gained some insights. I think we can use some more numerical method to find the weights on correlated \(Z_{x_k}\) in the expansions. For example if we have ten underlying predictor variables and there are seven hermite polynomials, the total number of parameters to be found is only seventy which can easily be done by multi-dimensional Newton method quite quickly. If there are 50,000 data joint observations