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 language | English |
---|---|
Pages (from-to) | 639-642 |
Number of pages | 4 |
Journal | Applied Mathematics and Information Sciences |
Volume | 15 |
Issue number | 5 |
DOIs | |
Publication status | Published - Sep 2021 |
Keywords
- Covariance matrix
- Density function
- Gaussian random variables
- Ornstein-Uhlenbeck operator