Statements (31)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
gptkb:stochastic_process
|
| gptkbp:application |
evolutionary biology
neuroscience interest rate modeling velocity of a Brownian particle |
| gptkbp:category |
mathematical finance
statistical physics stochastic differential equations |
| gptkbp:describes |
mean-reverting process
|
| gptkbp:governingEquation |
dX_t = θ(μ - X_t)dt + σdW_t
|
| gptkbp:hasProperty |
stationary increments
continuous paths mean reversion |
| https://www.w3.org/2000/01/rdf-schema#label |
Ornstein-Uhlenbeck process
|
| gptkbp:introducedIn |
1930
|
| gptkbp:namedAfter |
gptkb:George_Eugene_Uhlenbeck
gptkb:Leonard_Ornstein |
| gptkbp:parameter |
W_t (Wiener process)
θ (rate of mean reversion) μ (long-term mean) σ (volatility) |
| gptkbp:relatedTo |
Brownian motion
|
| gptkbp:solvedBy |
gptkb:Langevin_equation
|
| gptkbp:stationaryDistribution |
gptkb:normal_distribution
|
| gptkbp:type |
gptkb:Gaussian_process
Markov chain |
| gptkbp:usedIn |
biology
finance physics |
| gptkbp:bfsParent |
gptkb:Leonard_Ornstein
|
| gptkbp:bfsLayer |
6
|