Software Listing of Author : "Daniel Charlebois"

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.

  • Platform: Matlab, Scripts

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. MFPT multiplied by the reciprocal of the relaxation time) and only applies to cases where either the initial position or absorbing barrier is zero.

  • Platform: Matlab, Scripts
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