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 language | English |
|---|---|
| Article number | 276 |
| Journal | Advances in Difference Equations |
| Volume | 2019 |
| Issue number | 1 |
| DOIs | |
| Publication status | Published - 1 Dec 2019 |
| Externally published | Yes |
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
- APA
- Author
- BIBTEX
- Harvard
- Standard
- RIS
- Vancouver