The Ornstein-Uhlenbeck Operator for Uncorrelated Random Variables

Authors

Adaobi Mmachukwu Udoye, Department of Mathematics, Federal University Oye-Ekiti, Ekiti, NigeriaFollow
Chisara Peace Ogbogbo, Department of Mathematics, University of Ghana, Legon, GhanaFollow
Ralph Agyei Twum, Department of Mathematics, University of Ghana, Legon, GhanaFollow

Author Country (or Countries)

Nigeria

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.

Digital Object Identifier (DOI)

http://dx.doi.org/10.18576/amis/150512

Recommended Citation

Mmachukwu Udoye, Adaobi; Peace Ogbogbo, Chisara; and Agyei Twum, Ralph (2021) "The Ornstein-Uhlenbeck Operator for Uncorrelated Random Variables," Applied Mathematics & Information Sciences: Vol. 15: Iss. 5, Article 12.
DOI: http://dx.doi.org/10.18576/amis/150512
Available at: https://digitalcommons.aaru.edu.jo/amis/vol15/iss5/12