Ornstein-Uhlenbeck Process
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Ornstein-Uhlenbeck Process

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High Quality Content by WIKIPEDIA articles! In mathematics, the Ornstein?Uhlenbeck process (named after Leonard Ornstein and George Eugene Uhlenbeck), also known as the mean-reverting process, is a stochastic process rt given by the following stochastic differential equation: dr_t = theta (mu-r_t),dt + sigma, dW_t,, where ? 0, ? and ? 0 are parameters and Wt denotes the Wiener process. The Ornstein?Uhlenbeck process is one of several approaches used to model (with modifications) interest rates, currency exchange rates, and commodity prices stochastically. The parameter ? represents the equilib...