The Ornstein-Uhlenbeck Operator for Uncorrelated Random Variables

Adaobi Mmachukwu Udoye, Chisara Peace Ogbogbo, Ralph Agyei Twum

Research output: Contribution to journalArticlepeer-review

Abstract

This work considers Ornstein-Uhlenbeck operator whose role in sensitivity analysis involving Malliavin calculus is of immense importance in different fields including financial mathematics. There is need to consider Ornstein-Uhlenbeck operator for uncorrelated random variables since certain phenomenon involve uncorrelated Gaussian random variables. Thus, we derive the operator for uncorrelated multivariate Gaussian random variables suitable for phenomenon involving multivariate random variables.

Original languageEnglish
Pages (from-to)639-642
Number of pages4
JournalApplied Mathematics and Information Sciences
Volume15
Issue number5
DOIs
Publication statusPublished - Sep 2021

Keywords

  • Covariance matrix
  • Density function
  • Gaussian random variables
  • Ornstein-Uhlenbeck operator

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