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

DOI10.1186/s13662-019-2214-1zbMath1485.60078OpenAlexW2957292769WikidataQ127539116 ScholiaQ127539116MaRDI QIDQ2114279

P. Vatiwutipong, Nattakorn Phewchean

Publication date: 15 March 2022

Published in: Advances in Difference Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/s13662-019-2214-1

zbMATH Keywords

Fokker-Planck equationmultivariate normal distribution\(n\)-dimensional Fourier transformmultivariate Ornstein-Uhlenbeck process

Mathematics Subject Classification ID

Brownian motion (60J65) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Fokker-Planck equations (35Q84)

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