Mean reversion (source code)

= Mean reversion

Mean reversion is a tendency for a <stochastic process> to move back towards a reference level. For an <Ornstein-Uhlenbeck process>, the <conditional expected value> of a future deviation is the present deviation multiplied by $e^{-\theta h}$ after time $h$. Individual <sample paths> can move away from that level: mean reversion describes a conditional tendency, not monotone motion or a guaranteed return by a deadline. It also does not by itself imply a <stationary process>; the initial <probability distribution> matters.