Ornstein–Uhlenbeck Process
Mean-reverting stochastic process — the continuous-time limit of AR(1)
Parameters
Mean θ (reversion target)
0.0
Speed κ (mean reversion)
1.0
Volatility σ
0.50
Paths
5
Reset Paths
dX = κ(θ−X)dt + σ dW
X_∞ ~ N(θ, σ²/2κ)
Stat. var:
—
Empirical var:
—
E[X]:
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