Ornstein-Uhlenbeck Process Simulator Plot

Ornstein-Uhlenbeck Process Simulator

Initial Value:

Long-term Mean (θ):

Mean Reversion Rate (α):

Volatility (σ):

Number of Time Steps:

Time Step Size (Δt):

Number of Simulations:

Simulation Results

About the Ornstein-Uhlenbeck Process

The Ornstein-Uhlenbeck process is a stochastic process that models mean-reverting behavior. It's defined by:

dXₜ = α(θ - Xₜ)dt + σdWₜ

Where:

• Xₜ is the process value at time t
• θ is the long-term mean
• α is the mean reversion rate
• σ is the volatility
• Wₜ is a Wiener process (Brownian motion)