Class OrnsteinUhlenbeckProcess
- java.lang.Object
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- dev.nm.stat.stochasticprocess.univariate.sde.SDE
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- dev.nm.stat.stochasticprocess.univariate.sde.process.ou.OrnsteinUhlenbeckProcess
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- 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
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Constructor Summary
Constructors Constructor Description OrnsteinUhlenbeckProcess(double mu, double theta)
Construct a univariate OU process with unit volatility.OrnsteinUhlenbeckProcess(double mu, double theta, double sigma)
Construct a univariate OU process.OrnsteinUhlenbeckProcess(OrnsteinUhlenbeckProcess that)
Copy constructor.
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description double
mu()
Get the overall mean.double
sigma()
Get the volatility.double
theta()
Get the mean reversion rate.
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Constructor Detail
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OrnsteinUhlenbeckProcess
public OrnsteinUhlenbeckProcess(double mu, double theta)
Construct a univariate OU process with unit volatility.- Parameters:
mu
- the overall meantheta
- the mean reversion rate
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OrnsteinUhlenbeckProcess
public OrnsteinUhlenbeckProcess(double mu, double theta, double sigma)
Construct a univariate OU process.- Parameters:
mu
- the overall meantheta
- the mean reversion ratesigma
- the volatility
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OrnsteinUhlenbeckProcess
public OrnsteinUhlenbeckProcess(OrnsteinUhlenbeckProcess that)
Copy constructor.- Parameters:
that
- a univariate OU process
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