Probability theory and stochastic processes Brownian motion Concept
Ornstein–Uhlenbeck process
Summary
The Ornstein–Uhlenbeck process is a Brownian motion with a pull back towards a long-run mean. It solves the Langevin equation with . It is Gaussian, Markov and, from a suitable start, stationary, and it models velocities of particles, interest rates and mean-reverting quantities.
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About this page
| Tag | HZM2ASCDY4 |
|---|---|
| URI | m2://HZM2ASCDY4 |
| Kind | concept |
| Writing | W0 stub |
| MSC | 60J70, 60G15 |
| Specializes | Gaussian process, Diffusion process |
| Same as | |
| Changed | 2 November 2026 |
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