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Exact Numerical Simulation of the Ornstein-Uhlenbeck Process

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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.

Free download from Shareware Connection - This code implements and plots the exact numerical solution of the Ornstein-Uhlenbeck process and its time integral

Publisher: Daniel Charlebois | License: Freeware | Price: 0.00
Version: 1.0 | Size: 10 KB | Platform: Matlab, Scripts
Released Date: 18-03-2013 | Rating: 0 | Title: Exact Numerical Simulation of the Ornstein-Uhlenbeck Process

Author Url: http://www.mathworks.com
Program Info Url: http://www.mathworks.com
Download Url: http://www.mathworks.com/matlabcentral/fx_files/30184/1/OU.zip

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