Exact Numerical Simulation of the Ornstein-Uhlenbeck Process
Exact numerical simulation of the Ornstein-Uhlenbeck process and its time integral.
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This code implements and plots the exact numerical solution of the Ornstein-Uhlenbeck process and its time integral. The numerical method here used was published by D.T. Gillespie in 1996 in the journal Physical Review E.
The probability density function and its plot for the Ornstein-Uhlenbeck process is also included.
Cite As
Daniel Charlebois (2026). Exact Numerical Simulation of the Ornstein-Uhlenbeck Process (https://www.mathworks.com/matlabcentral/fileexchange/30184-exact-numerical-simulation-of-the-ornstein-uhlenbeck-process), MATLAB Central File Exchange. Retrieved .
General Information
- Version 1.0.0.0 (1.66 KB)
MATLAB Release Compatibility
- Compatible with any release
Platform Compatibility
- Windows
- macOS
- Linux
| Version | Published | Release Notes | Action |
|---|---|---|---|
| 1.0.0.0 |
