Stochastic Differential Equations —The Ornstein-Uhlenbeck Process

I haven’t written for a few months and while I was previously writing about optimization and linear programming, this article will not be about that. This article is about the basics of stochastic differential equations and something called the Ornstein-Uhlenbeck process. It is also called a “mean-reverting process” and it can be considered a modification of the “random-walk” where the particle tends to drift toward the mean of the process.

The article will be broken into a few parts which will go over some basics then…