Please use this identifier to cite or link to this item: http://ir.futminna.edu.ng:8080/jspui/handle/123456789/17044
Title: Ornstein-Uhlenbeck Operator for Correlated Random Variables
Authors: Udoye, Adaobi M.
Yakubu, Yisa
Adeyefa, Emmanuel O.
Egbaji, Eka O.
Akinola, Lukman S.
Keywords: Gaussian random variables, Skorohod integral, Ornstein-Uhlenbeck operator
Issue Date: 2021
Publisher: IAENG International Journal of Computer Science
Citation: Udoye A. M, Yakubu Y., Adeyefa E. O., Ogbaji E. O., and Akinola L. S. (2021). "Ornstein -Uhlenbeck Operator for Correlated Random Variables", IAENG International Journal of Computer Science, 48:4, IJCS_48_4_10
Series/Report no.: IJCS_48_4_10;
Abstract: We investigate Ornstein-Uhlenbeck operator which serves as an important tool with application in many fields, including sensitivity analysis involving Levy processes using ´ Malliavin calculus. Some processes with multivariate random variables have feature of correlation among the random variables. Hence, there is need to obtain the Ornstein-Uhlenbeck operator for such phenomenon. This paper was therefore designed to derive the Ornstein-Uhlenbeck operator for correlated multivariate random variables.
URI: http://repository.futminna.edu.ng:8080/jspui/handle/123456789/17044
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