ORNSTEIN_UHLENBECK
Approximate Solution of a Stochastic Differential Equation


ORNSTEIN_UHLENBECK is a MATLAB library which approximates solutions of the Ornstein-Uhlenbeck stochastic differential equation (SDE) using the Euler method and the Euler-Maruyama method.

The Ornstein-Uhlenbeck stochastic differential equation has the form:

        dx(t) = theta * ( mu - x(t) ) dt + sigma dW,   
        x(0) = x0.
      
where and the equation is to be integrated over the interval [0,tmax].

The starting value x0 represents a deviation from the mean value mu. The decay rate theta determines how fast x(t) will move back towards its mean value. The coefficient sigma determines the relative magnitude of stochastic perturbations.

In general, the solution starts at x0 and over time moves towards the value mu, but experiences random "wobbles" whose size is determined by sigma. Increasing theta makes the solution move towards the mean faster.

Licensing:

The computer code and data files described and made available on this web page are distributed under the GNU LGPL license.

Languages:

ORNSTEIN_UHLENBECK is available in a C version and a C++ version and a FORTRAN77 version and a FORTRAN90 version and a MATLAB version.

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Reference:

  1. Desmond Higham,
    An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations,
    SIAM Review,
    Volume 43, Number 3, September 2001, pages 525-546.

Source Code:

Examples and Tests:

A number of graphics images are created by the example programs:

You can go up one level to the MATLAB source codes.


Last revised on 21 January 2013.