Alternative way to derive the distribution of the multivariate Ornstein–Uhlenbeck process
Abstract In this paper, we solve the Fokker–Planck equation of the multivariate Ornstein–Uhlenbeck process to obtain its probability density function. This approach allows us to ascertain the distribution without solving it analytically. We find that, at any moment in time, the process has a multiva...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
SpringerOpen
2019-07-01
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| Series: | Advances in Difference Equations |
| Subjects: | |
| Online Access: | http://link.springer.com/article/10.1186/s13662-019-2214-1 |