Statements (29)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
stochastic process
|
| gptkbp:createdBy |
numerical methods
|
| gptkbp:description |
mean-reverting behavior
|
| gptkbp:has_a |
normal distribution
dependent on time the long-term mean |
| gptkbp:hasPrograms |
queueing theory
|
| https://www.w3.org/2000/01/rdf-schema#label |
Ornstein-Uhlenbeck process
|
| gptkbp:introduced |
gptkb:George_E._Uhlenbeck
gptkb:Leonard_Ornstein |
| gptkbp:is_a |
true
Gaussian process |
| gptkbp:is_a_time_for |
a stochastic differential equation
|
| gptkbp:is_characterized_by |
a diffusion term
a drift term |
| gptkbp:is_evaluated_by |
dX(t)_=_θ(μ_-_X(t))dt_+_σdW(t)
|
| gptkbp:is_recognized_for |
a mean-reversion level
a speed of reversion a volatility parameter |
| gptkbp:is_used_in |
machine learning
financial modeling interest rates stock prices physical systems |
| gptkbp:related_to |
Brownian motion
Ornstein-Uhlenbeck_equation |
| gptkbp:suitableFor |
economics
biology physics |