OrnsteinUhlenbeckProcess

OrnsteinUhlenbeckProcess[, , ]
represents an Ornstein-Uhlenbeck process with long-term mean , volatility , and mean reversion speed .

OrnsteinUhlenbeckProcess[, , , x0]
represents an Ornstein-Uhlenbeck process with initial condition .

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Basic Examples (3)Basic Examples (3)

Simulate an Ornstein-Uhlenbeck process with a random initial condition:

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Mean and variance functions:

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Covariance function:

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