Skip to main navigation Skip to search Skip to main content

Alternative way to derive the distribution of the multivariate Ornstein–Uhlenbeck process

  • Mahidol University
  • CHE

Research output: Contribution to journal › Article › peer-review

35 Citations (Scopus)

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 multivariate normal distribution. We obtain explicit formulae of mean, covariance, and cross-covariance matrix. Moreover, we obtain its mean-reverting condition and the long-term distribution.

Original languageEnglish
Article number276
JournalAdvances in Difference Equations
Volume2019
Issue number1
DOIs
Publication statusPublished - 1 Dec 2019
Externally publishedYes

Keywords

  • Fokker–Planck equation
  • Multivariate Ornstein–Uhlenbeck process
  • Multivariate normal distribution
  • n-dimensional Fourier transform

Fingerprint

Dive into the research topics of 'Alternative way to derive the distribution of the multivariate Ornstein–Uhlenbeck process'. Together they form a unique fingerprint.

Cite this