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Exact Numerical Simulation of the Ornstein-Uhlenbeck Process 1.0

  Date Added: April 13, 2013  |  Visits: 305

Exact Numerical Simulation of the Ornstein-Uhlenbeck Process

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This code implements and plots the exact numerical solution of the Ornstein-Uhlenbeck process and its time integral. The numerical method here used was published by D.T. Gillespie in 1996 in the journal Physical Review E.The probability density function and its plot for the Ornstein-Uhlenbeck process is also included.

Requirements: No special requirements
Platforms: Matlab
Keyword: Density Exact Function Gillespie Implements Included Integral Journal Method Numerical Ornsteinuhlenbeck Physical Plots Probability Process Published Review Solution
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License: Freeware Size: 10 KB
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EXACT NUMERICAL SIMULATION OF THE ORNSTEIN-UHLENBECK PROCESS RELATED
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