Lecture 3 Pseudo-random number generation

The covariance matrix Σ is positive definite. One can show
that there is exactly one lower-triangular matrix A with positive
diagonal elements, s.t.
Σ = A · A T ,
where A T denotes a transpose of a matrix A.
This decomposition is called the Cholesky decomposition.
There are numerical methods how to compute the Cholesky
decomposition of a positive definite matrix, but we don’t
discuss this here.
Computational Finance – p. 34