Table of contents
1
Simulation Setup
2
Simulating a single-path
3
Mean validation
4
Variance validation
5
Stationary distribution
Numerical Validation of OU transition
Author
Rohan Jayanti, Yat Wai Heung
1
Simulation Setup
2
Simulating a single-path
3
Mean validation
To verify the expectation
simulate many paths
compute empirical mean at time
\(t\)
compare this with the theoretical mean
4
Variance validation
5
Stationary distribution