The Ornstein-Uhlenbeck Operator for Uncorrelated Random Variables

Adaobi Mmachukwu Udoye; Chisara Peace Ogbogbo; Ralph Agyei Twum

doi:10.18576/amis/150512

The Ornstein-Uhlenbeck Operator for Uncorrelated Random Variables

Adaobi Mmachukwu Udoye
, Chisara Peace Ogbogbo
, Ralph Agyei Twum

Department of Mathematics

Federal University Oye-Ekiti
University of Ghana

Research output: Contribution to journal › Article › peer-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 language	English
Pages (from-to)	639-642
Number of pages	4
Journal	Applied Mathematics and Information Sciences
Volume	15
Issue number	5
DOIs	https://doi.org/10.18576/amis/150512
Publication status	Published - Sep 2021

Keywords

Covariance matrix
Density function
Gaussian random variables
Ornstein-Uhlenbeck operator

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10.18576/amis/150512

Cite this

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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.",

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AB - 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.

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KW - Density function

KW - Gaussian random variables

KW - Ornstein-Uhlenbeck operator

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The Ornstein-Uhlenbeck Operator for Uncorrelated Random Variables

Abstract

Keywords

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