Overview - 2023.2 English

Vitis Libraries

Release Date
2023.2 English

Ornstein-Uhlenbeck process is a stochastic process which uses the Random Number Generator (RNG) to generate locations for mesher. It uses a reference time point \(\Delta w\) and a time step \(\Delta t\) to calculate the drift and diffusion. The Ornstein-Uhlenbeck process is a simple stochastic processes, whose feature of interest is its mean-reverting drift term \(a(r-x)\) and its constant diffusion term \(\sigma\).

The Ornstein-Uhlenbeck process can be described by

\[dx=a(r-x_{t})dt+\sigma dW_{t}\]