Fractional Ornstein-Uhlenbeck Process
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The first two moments (mean and variance) of an Ornstein-Uhlenbeck (OU) process are approximated with stochastic expansions (linear combinations of iterated integrals of the paths). The first three parameters are the usual parameters for an OU pro...
Contributed by: Christophe Ladroue Based on a program by: Christophe Ladroue After work by: Anastasia Papavasiliou and Christophe Ladroue