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Lecture 2 - Simulation of basic processes

Examples: simulation from the multidimensional Gaussian law. Cholesky decomposition, PCA. Examples: generation of the skeleton of the multidimensional Brownian motion and the Ornstein-Uhlenbeck…

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Lecture 6: Functional limit theorems for financial markets with long-range dependence

* General conditions of weak convergence - Convergence of sums - Multiplicative scheme* Monotonicity along the diagonal of a triangular matrix in the Cholesky decomposition of a positive definite…

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Lecture 31: the Cholesky decomposition

The Cholesky decomposition

From  Tiziano Vargiolu 16 plays 0