Skip to content
#

ornstein-uhlenbeck

Here are 9 public repositories matching this topic...

R package for the exact simulation of non-negative shot noise processes and Lévy-driven non-Gaussian Ornstein-Uhlenbeck (OU) processes, in particular OU-Poisson, OU-Gamma and OU-inverse Gaussian processes from the paper by Tamborrino and Lansky, 'Shot noise, weak convergence and diffusion approximations', Physica D, 2021. https://www.sciencedire…

  • Updated Apr 27, 2021
  • R

Improve this page

Add a description, image, and links to the ornstein-uhlenbeck topic page so that developers can more easily learn about it.

Curate this topic

Add this topic to your repo

To associate your repository with the ornstein-uhlenbeck topic, visit your repo's landing page and select "manage topics."

Learn more