tesserahub/sympy — comment on commit dd86ef42b3fb283084d41da4cf7b608c6ecb3eed
File: sympy/stats/crv.py line 244
By mrocklin:

This looks good
I looked through the code and found the Lambda class in sympy/core/functions.py
It seems to do what you want.

So perhaps Density(expr) where expr contains continuous random variables should be a Lambda object?

MultivariateNormals aren't in master. They're in this branch
https://github.com/mrocklin/sympy/tree/mvn_rv
Which is a bit outdated at the moment and not entirely functional. It does give a good idea of what is necessary to produce a new class of random variables however.