Ornstein-Uhlenbeck process | Simulation in Python
Procedure for simulating the Ornstein-Uhlenbeck process in Python using two methods -- an exact method based on analytical results and the approximate Euler-Maruyama method for numerically solving stochastic differential equations.
Detailed description of the simulation procedure along with the Python code are written in a Jupyter notebook. It can be accessed here:
https://github.com/vaheag/Ornstein-Uh...