Ornstein-Uhlenbeck Process
Overview
The Ornstein-Uhlenbeck process is an
Ito process
that captures a simple notion of
mean reversion. The process can be specified as
{% dX_t = \theta(\mu - X_t)dt + \sigma dW_t %}
Here, the mean of the process is denote {% \mu %}. The speed of the mean reversion is controlled through
{% \theta %}.
