Hello.. I am trying to better understand how one can correlate independent Wiener processes given a correlation matrix.

Please see the attached notes. This method uses the Cholesky decomposition and I am aware that one can use the Cholesky but I want to go back to basics....how does one get to equation (2.26) without all this positive-definite/Hermitian stuff.

Thank you for being patient.


Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.