 Multivariate Ornstein-Uhlenbeck process (source code)

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= 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 <covariance function>[stationary covariance] $\Sigma$ is the unique solution of $A\Sigma+\Sigma A^T=bb^T$.

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