Extended OU Process


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