Stochastic Differential Equations
Ensemble of trajectories with mean ± std band and probability density evolution
SDE Type
Geometric Brownian Motion
Ornstein-Uhlenbeck
CIR Process
Parameters
Drift μ:
0.10
Volatility σ:
0.30
Mean-reversion θ:
2.00
Long-run mean:
1.00
Trajectories:
50
Stats at Final Time
Mean:
—
Std Dev:
—
Min:
—
Max:
—
Re-Run Simulation
Animate
Equation