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The Ornstein-Uhlenbeck Operator for Uncorrelated Random Variables |
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PP: 639-642 |
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doi:10.18576/amis/150512
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Author(s) |
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Adaobi Mmachukwu Udoye,
Chisara Peace Ogbogbo,
Ralph Agyei Twum,
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Abstract |
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| 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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