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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.

Suggested Reviewers

N/A

Digital Object Identifier (DOI)

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

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