OrnsteinUhlenbeckProcess

OrnsteinUhlenbeckProcess[μ,σ,θ]
represents a stationary OrnsteinUhlenbeck process with long-term mean μ, volatility , and mean reversion speed θ.

OrnsteinUhlenbeckProcess[μ,σ,θ,x0]
represents an OrnsteinUhlenbeck process with initial condition .

DetailsDetails

ExamplesExamplesopen allclose all

Basic Examples  (3)Basic Examples  (3)

Simulate an OrnsteinUhlenbeck process with a random initial condition:

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With fixed initial condition:

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Mean and variance functions:

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With fixed initial condition:

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Covariance function:

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With fixed initial condition:

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Introduced in 2012
(9.0)