Ornstein Uhlenbeck Mean Reversion Process

Ornstein — Uhlenbeck Process — From Wikipedia, the free encyclopedia

The Ornstein–Uhlenbeck process is one of several approaches used to model interest rates, currency exchange rates, and commodity prices stochastically.

The Parameters:

• W is a Brownian Motion
• µ represents the equilibrium or long-term mean value.
• σ represents the degree of volatility around it caused by shocks.