Class OrnsteinUhlenbeckProcess

  • All Implemented Interfaces:
    OUProcess

    public class OrnsteinUhlenbeckProcess
    extends SDE
    implements OUProcess
    This class represents a univariate Ornstein-Uhlenbeck (OU) process. An Ornstein-Uhlenbeck process, \(x_t\), satisfies the following SDE: \[ dx_t = \theta (\mu - x_t)dt + \sigma dW_t, \] where \(W_t\) represents a Wiener process.
    See Also:
    Wikipedia: Ornstein-Uhlenbeck process
    • Constructor Detail

      • OrnsteinUhlenbeckProcess

        public OrnsteinUhlenbeckProcess​(double mu,
                                        double theta)
        Construct a univariate OU process with unit volatility.
        Parameters:
        mu - the overall mean
        theta - the mean reversion rate
      • OrnsteinUhlenbeckProcess

        public OrnsteinUhlenbeckProcess​(double mu,
                                        double theta,
                                        double sigma)
        Construct a univariate OU process.
        Parameters:
        mu - the overall mean
        theta - the mean reversion rate
        sigma - the volatility
      • OrnsteinUhlenbeckProcess

        public OrnsteinUhlenbeckProcess​(OrnsteinUhlenbeckProcess that)
        Copy constructor.
        Parameters:
        that - a univariate OU process
    • Method Detail

      • mu

        public double mu()
        Description copied from interface: OUProcess
        Get the overall mean.
        Specified by:
        mu in interface OUProcess
        Returns:
        the overall mean
      • theta

        public double theta()
        Description copied from interface: OUProcess
        Get the mean reversion rate.
        Specified by:
        theta in interface OUProcess
        Returns:
        the mean reversion rate
      • sigma

        public double sigma()
        Description copied from interface: OUProcess
        Get the volatility.
        Specified by:
        sigma in interface OUProcess
        Returns:
        the volatility