How was the Ornstein–Uhlenbeck process originally constructed?
May 25, 2021 · The O-U process was introduced as a solution to a Langevin equation dXt = −Xtdt+dBt d X t = X t d t + d B t by Ornstein & Uhlenbeck (1930), and the solution of that …
Analytic Solution to a Generalized Ornstein-Uhlenbeck Process?
Analytic Solution to a Generalized Ornstein-Uhlenbeck Process? Ask Question Asked 14 years, 4 months ago Modified 8 years, 2 months ago
stochastic processes - Implementing Ornstein–Uhlenbeck in …
May 18, 2015 · In particular, see the sde_ou function to calculate analytical solutions for the Ornstein–Uhlenbeck process. I also recommend reading the following excellent article for …
stochastic processes - Difference between Ornstein-Uhlenbeck, …
Jan 8, 2021 · Ornstein-Uhlebeck = Vasicek (only difference being that Vasicek can sometimes have (deterministic) non-constant reversion speed parameter, whilst Ornstein-Uhlenbeck has …
stochastic processes - Fokker-Planck equation for Ornstein …
May 24, 2018 · Fokker-Planck equation for Ornstein-Uhlenbeck Ask Question Asked 7 years, 7 months ago Modified 1 year, 10 months ago
Ornstein-Uhlenbeck parameters and correlation function
Oct 22, 2024 · Ornstein-Uhlenbeck parameters and correlation function Ask Question Asked 1 year, 2 months ago Modified 1 year, 2 months ago
How to approximate an AR(1) with an Ornstein-Uhlenbeck Process
Oct 28, 2015 · How to approximate an AR (1) with an Ornstein-Uhlenbeck Process Ask Question Asked 10 years, 2 months ago Modified 10 years, 1 month ago
stochastic processes - How the Ornstein–Uhlenbeck process can …
Wikipedia says The Ornstein–Uhlenbeck process can also be considered as the continuous-time analogue of the discrete-time AR (1) process. I was wondering how the Ornstein–Uhlenbeck …
Autocovariance of Ornstein–Uhlenbeck and AR (1) processes
Jun 8, 2018 · Autocovariance of Ornstein–Uhlenbeck and AR (1) processes Ask Question Asked 7 years, 6 months ago Modified 1 year, 2 months ago
stochastic processes - Covariance of Ornstein - Uhlenbeck Process ...
Aug 30, 2014 · Covariance of Ornstein - Uhlenbeck Process Ask Question Asked 11 years, 4 months ago Modified 11 years, 4 months ago