Uses of Interface
org.drip.quant.stochastic.OrnsteinUhlenbeck

Packages that use OrnsteinUhlenbeck

Package	Description
org.drip.execution.hjb
org.drip.execution.latent
org.drip.quant.stochastic

Uses of OrnsteinUhlenbeck in org.drip.execution.hjb

Methods in org.drip.execution.hjb that return OrnsteinUhlenbeck

Modifier and Type	Method and Description
OrnsteinUhlenbeck	NonDimensionalCostEvolver.ornsteinUnlenbeckProcess() Retrieve the Reference Ornstein-Unlenbeck Process

Methods in org.drip.execution.hjb with parameters of type OrnsteinUhlenbeck

Modifier and Type	Method and Description
static NonDimensionalCostEvolverSystemic	NonDimensionalCostEvolverSystemic.Standard(OrnsteinUhlenbeck ou) Construct a Standard NonDimensionalCostEvolverSystemic Instance

Constructors in org.drip.execution.hjb with parameters of type OrnsteinUhlenbeck

Constructor and Description
NonDimensionalCostEvolverSystemic(OrnsteinUhlenbeck ou, double dblAsymptoticEulerUrgencyThreshold, boolean bAsymptoticEnhancedEulerCorrection) NonDimensionalCostEvolverSystemic Constructor

Uses of OrnsteinUhlenbeck in org.drip.execution.latent

Methods in org.drip.execution.latent that return OrnsteinUhlenbeck

Modifier and Type	Method and Description
OrnsteinUhlenbeck	OrnsteinUhlenbeckSequence.scheme() Retrieve the Ornstein-Uhlenbeck Generator Scheme Parameters

Uses of OrnsteinUhlenbeck in org.drip.quant.stochastic

Classes in org.drip.quant.stochastic that implement OrnsteinUhlenbeck

Modifier and Type	Class and Description
class	OrnsteinUhlenbeckProcess1D OrnsteinUhlenbeckProcess1D guides the Random Variable Evolution according to 1D Ornstein-Uhlenbeck Mean Reverting Process.
class	OrnsteinUhlenbeckProcess2D OrnsteinUhlenbeckProcess2D guides the Random Variable Evolution according to 2D Ornstein-Uhlenbeck Mean Reverting Process.