Extended OU Process


Extended OU Process is a direct subtype of Stoch Process 1D
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with functions Extended OU Process Functions, keys Extended OU Process keys and example object ExtOUProc

TYPE INCLUSION RELATIONSHIPS

Stoch Process 1D

Extended OU Process

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AVAILABLE FUNCTIONS

Create

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AVAILABLE CREATE FUNCTION KEYS

Absolute Accuracy

Discretization

Mu

Sigma

Theta

X0

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TYPICAL OBJECTS OF TYPE Extended OU Process

ExtOUProc

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This type represents an extended Ornstein Uhlenbeck stochastic process with constant speed, mean reversion and volatility parameters.
The diffusion equation of the stochastic process x is:
dx = θ(μ-x)dt + σdw
where θ,μ,σ are constant parameters that describe the speed, mean reversion and normal volatility of x