Here is the problem:
I am interested in problem b.
So, my idea is the following: We know, that if $X = AZ + a$, where $ A$ is $m*m$ and $a$ is constant, than $X \sim N(A\mu + a,A\Sigma A^T)$
I want to use this fact and we have two equalities: $$ A\mu + a = 0$$ $$A\Sigma A^T = I$$
And my question is: am I on the right way to solution(i need to find A and a)? If no, give me a hint please. If yes, how can i derive A from the second equality?