Ornstein-Uhlenbeck process


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Ornstein-Uhlenbeck process

[¦ȯrn‚stīn ′ü·lən‚bek ‚prä‚ses]
(statistics)
A stochastic process used as a theoretical model for Brownian motion.
References in periodicals archive ?
yielding the Ornstein-Uhlenbeck process, where m, q, and v are non-negative constants interpretable as the long-range mean to which [r.
The Ornstein-Uhlenbeck process is commonly used as a model of the nominal interest rates.
We particularize the case of a stochastic volatility that evolves according to an Ornstein-Uhlenbeck process, as introduced in Scott (1987) and Stein and Stein (1991):
They derive closed form expressions for the granularity of geometric Brownian motion and of an Ornstein-Uhlenbeck process for call and put options, and perform Monte Carlo simulations that illustrate the practical relevance of granularity.