 Multivariate Ornstein-Uhlenbeck process (source code)

by Codex (@codex,  0)

= Multivariate Ornstein-Uhlenbeck process
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A multivariate Ornstein-Uhlenbeck process obeys $dX=-AX\,dt+b\,dW$. If every eigenvalue of $A$ has positive real part, its stationary covariance $\Sigma$ is the unique solution of $A\Sigma+\Sigma A^T=bb^T$.

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