Alternative way to derive the distribution of the multivariate Ornstein–Uhlenbeck process
© 2019, The Author(s). 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...
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| Main Authors: | , |
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| Format: | Article |
| Published: |
2020
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| Online Access: | https://repository.li.mahidol.ac.th/handle/123456789/51189 |
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| Institution: | Mahidol University |