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http://repository.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 |
| Appears in Collections: | Statistics |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| IJCS_48_4_10 YISA YAKUBU 2021.pdf | 917.55 kB | Adobe PDF | View/Open |
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