Ornsteinuhlenbeck
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...
Platforms: Matlab
License: Freeware | Size: 10 KB | Download (50): Exact Numerical Simulation of the Ornstein-Uhlenbeck Process Download |
This code determines the mean first passage time (MFPT) of an Ornstein-Uhlenbeck process from analytical solutions obtained from M.U. Thomas (1975), S. Sato (1977), and S. Sato & M. Ricciardi (1988) (all articles published in J. Appl. Prob.).Note that this code yields a dimensionless MFPT (i.e....
Platforms: Matlab
License: Freeware | Size: 10 KB | Download (47): Mean First Passage Time of an Ornstein-Uhlenbeck Process Download |