Stochastic Differential Equations
- Simulation of brownian motion
- 10 simulations of brownian motion
after 100 iterations x each process...
- 10000 simulations of brownian motion
after 10000 iterations x each process...
- Simulation of Ornstein-Unlenbeck Stochastic Process
(Solution of the Langevin Stochastic Differential Equation)
- Solution of Langevin equation
- Evolution of probability distribution of Ornstein-Unlenbeck stochastic process
Observations:
The process becomes in stationary process, which estabilize in mean of 10 and standard deviation of 1