Simulating Ornstein-Uhlenbeck Process in Python
The Ornstein-Uhlenbeck (OU) process is a type of continuous-time stochastic process that is often used to model mean-reverting behavior.
It is a solution to a specific type of stochastic differential equation (SDE) and is widely used in various fields such as physics, finance, and biology.
The Ornstein-Uhlenbeck process is a key model for mean-reverting stochastic behavior, characterized by its tendency to revert to a long-term mean, along with random fluctuations.
I simulated the Ornstein-Uhlenbeck process, compared calculated parameters with theoretical parameters, analyzed first passage time.
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The Python code is uploaded into https://github.com/AIMLModeling/Ornst...