| Autor: |
Udoye, Adaobi M., Yisa Yakubu, Adeyefa, Emmanuel O., Ogbaji, Eka O., Akinola, Lukman S. |
| Předmět: |
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| Zdroj: |
IAENG International Journal of Computer Science; Dec2021, Vol. 48 Issue 4, p925-929, 5p |
| Abstrakt: |
We investigate Ornstein-Uhlenbeck operator which serves as an important tool with application in many fields, including sensitivity analysis involving L´evy 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. [ABSTRACT FROM AUTHOR] |
| Databáze: |
Supplemental Index |
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