: Astronomy: Ornstein-Uhlenbeck process

mathematical technique > probability theory > stochastic process > Ornstein-Uhlenbeck process

mathematical technique > mathematical model > stochastic process > Ornstein-Uhlenbeck process

Ornstein-Uhlenbeck process

In mathematics, the Ornstein–Uhlenbeck process is a stochastic process with applications in financial mathematics and the physical sciences. Its original application in physics was as a model for the velocity of a massive Brownian particle under the influence of friction. It is named after Leonard Ornstein and George Eugene Uhlenbeck. The Ornstein–Uhlenbeck process is a stationary Gauss–Markov process, which means that it is a Gaussian process, a Markov process, and is temporally homogeneous. In fact, it is the only nontrivial process that satisfies these three conditions, up to allowing linear transformations of the space and time variables. Over time, the process tends to drift towards its mean function: such a process is called mean-reverting. (Wikipedia, The Free Encyclopedia, https://en.wikipedia.org/wiki/Ornstein%E2%80%93Uhlenbeck_process)

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