In mathematics, the Ornstein–Uhlenbeck process is a stochastic process with applications in financial mathematics and the physical sciences. Its original...
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Ornstein–Uhlenbeck may refer to: Ornstein–Uhlenbeck operator Ornstein–Uhlenbeck process This disambiguation page lists articles associated with the title...
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If the process is stationary, the covariance function depends only on x − x ′ {\displaystyle x-x'} . For example, the Ornstein–Uhlenbeck process is stationary...
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Brownian motion, reflected Brownian motion and Ornstein–Uhlenbeck processes are examples of diffusion processes. It is used heavily in statistical physics...
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Autoregressive model (redirect from Autoregressive process)
The AR(1) model is the discrete-time analogy of the continuous Ornstein-Uhlenbeck process. It is therefore sometimes useful to understand the properties...
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Markov processes. A stationary Gauss–Markov process is unique[citation needed] up to rescaling; such a process is also known as an Ornstein–Uhlenbeck process...
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professor and member of the institute. Uhlenbeck developed the physical theory of the Ornstein-Uhlenbeck process.[citation needed] He retired in 1971,...
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Fokker–Planck equation (category Stochastic processes)
Boltzmann distribution is the unique equilibrium. The Ornstein–Uhlenbeck process is a process defined as d X t = − a X t d t + σ d W t . {\displaystyle...
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Cox–Ingersoll–Ross model (redirect from CIR process)
an Ornstein–Uhlenbeck_process. The CIR model describes the instantaneous interest rate r t {\displaystyle r_{t}} with a Feller square-root process, whose...
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correlation functions, and the Ornstein-Uhlenbeck process (named after Ornstein and George Uhlenbeck), a stochastic process. Together with Gilles Holst,...
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