geometric_Ornstein_Uhlenbeck: Geometric Ornstein-Uhlenbeck process

In joaodmrodrigues/tsmodels: Time-series models

Description

Simulates a geometric Ornstein-Uhlenbeck stochastic realization The geometric Ornstein-Uhlenbeck process, like its classic version, models mean-reverting processes.

Usage

geometric_Ornstein_Uhlenbeck(T, dt, mu, sigma, tau, Y0)

Arguments

T	total time
dt	time step
mu	mean
sigma	standard deviation of the stochastic term, over 1 time unit
tau	reverting time constant
Y0	initial value

Value

The time and the process realization vectors

• 1 - The time vector t.

• 2 - Tbe process realization Y.

joaodmrodrigues/tsmodels documentation built on Jan. 9, 2021, 3:21 p.m.