Ornstein-Uhlenbeck
dX = θ(μ−X)dt + σ dW
Mean-reverting diffusion. Stationary distribution is Gaussian: N(μ, σ²/2θ).
θ controls spring strength, σ controls noise. Models interest rates (Vasicek), velocity of Brownian particles, neural fluctuations.
dX = θ(μ−X)dt + σ dW
Mean-reverting diffusion. Stationary distribution is Gaussian: N(μ, σ²/2θ).
θ controls spring strength, σ controls noise. Models interest rates (Vasicek), velocity of Brownian particles, neural fluctuations.