Ornstein-Uhlenbeck Stochastic Process - Solution

In this article, we will talk about Ornstein-Uhlenbeck stochastic process. We will see how to find it's solution in the case that we are given an initial condition as well as calculating the mean of Ornstein-Uhlenbeck process and variance. The starting point is to solve the stochastic differential equation that describe the Ornstein-Uhlenbeck process.

written by ALON SELA - M.Sc. in Financial Math

This article talks about:

Ornstein Uhlenbeck process

Ornstein-Uhlenbeck stochastic process

Ornstein Uhlenbeck stochastic differential equation

Conditional expectation for the Ornstein Uhlenbeck process

Conditional Variance for the Ornstein Uhlenbeck stochastic differential equation

Solution to the Ornstein-Uhlenbeck stochastic process