Go to Deriscope's documentation start pageOU_Process

*OU Process* is a Type that represents an Ornstein Uhlenbeck stochastic process with constant speed, mean reversion and volatility parameters.

The diffusion equation of the stochastic process *x* is:

*dx = θ(μ-x)dt + σdw*

where *θ,μ,σ* are constant parameters that describe the speed, mean reversion and normal volatility of *x*