A Matlab code for KLT simulations
After so much mathematics, it is natural to think of some computer code capable of simulating the KLTs derived analytically in this book. The well-known Matlab environment is well-suited for such simulations inasmuch as it can handle both the eigenvalues and the eigenvectors of symmetric matrices that are at the heart of the KLT.
KeywordsBrownian Motion Standard Brownian Motion Final Instant Autocorrelation Matrix Main Code
Unable to display preview. Download preview PDF.