Exact Numerical Simulation of the Ornstein-Uhlenbeck Process

Version 1.0.0.0 (1.66 KB) by Daniel Charlebois
Exact numerical simulation of the Ornstein-Uhlenbeck process and its time integral.
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Updated 25 Jan 2011

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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 (2024). 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 .

MATLAB Release Compatibility
Created with R2010b
Compatible with any release
Platform Compatibility
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Version Published Release Notes
1.0.0.0