Struct OrnsteinUhlenbeckProcess 

pub struct OrnsteinUhlenbeckProcess {
    pub theta: f64,
    pub mean: f64,
    pub sigma: f64,
}

Ornstein-Uhlenbeck process simulator.

Models mean-reverting dynamics: dX = θ(μ - X) dt + σ dW. Useful for interest rate models (Vasicek) and volatility models.

Fields

theta: f64

Mean reversion speed θ > 0.

mean: f64

Long-run mean μ.

sigma: f64

Volatility σ ≥ 0.

Implementations

impl OrnsteinUhlenbeckProcess

pub fn new(theta: f64, mean: f64, sigma: f64) -> Self

Create an OU process with given parameters.

pub fn simulate( &self, x0: f64, t_end: f64, n_steps: u32, seed: u64, ) -> Vec<(f64, f64)>

Simulate a path starting at x0 over [0, t_end] with n_steps steps.

Returns (time, X_t) pairs using exact conditional update.

pub fn stationary_variance(&self) -> f64

Long-run variance: σ² / (2θ).

pub fn stationary_std(&self) -> f64

Long-run standard deviation: σ / √(2θ).

Trait Implementations

impl Clone for OrnsteinUhlenbeckProcess

fn clone(&self) -> OrnsteinUhlenbeckProcess

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Debug for OrnsteinUhlenbeckProcess

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.