Package org.drip.sample.kolmogorov

Class OrnsteinUhlenbeckSteadyStatePDF

java.lang.Object
org.drip.sample.kolmogorov.OrnsteinUhlenbeckSteadyStatePDF
public class OrnsteinUhlenbeckSteadyStatePDF
extends java.lang.Object
OrnsteinUhlenbeckSteadyStatePDF illustrates the Steady-State Distribution of an Evolving R1 Ornstein-Uhlenbeck Process. The References are:

  • Bogoliubov, N. N., and D. P. Sankevich (1994): N. N. Bogoliubov and Statistical Mechanics Russian Mathematical Surveys 49 (5) 19-49
  • Holubec, V., K. Kroy, and S. Steffenoni (2019): Physically Consistent Numerical Solver for Time-dependent Fokker-Planck Equations Physical Review E 99 (4) 032117
  • Kadanoff, L. P. (2000): Statistical Physics: Statics, Dynamics, and Re-normalization World Scientific
  • Ottinger, H. C. (1996): Stochastic Processes in Polymeric Fluids Springer-Verlag Berlin-Heidelberg
  • Wikipedia (2019): Fokker-Planck Equation https://en.wikipedia.org/wiki/Fokker%E2%80%93Planck_equation


Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    OrnsteinUhlenbeckSteadyStatePDF()  

  • Method Summary

    Modifier and Type Method Description
    static void main​(java.lang.String[] argumentArray)
    Entry Point

    Methods inherited from class java.lang.Object

    equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

  • Constructor Details

    • OrnsteinUhlenbeckSteadyStatePDF

      public OrnsteinUhlenbeckSteadyStatePDF()

  • Method Details

    • main

      public static final void main​(java.lang.String[] argumentArray) throws java.lang.Exception
      Entry Point
      Parameters:
      argumentArray - Command Line Argument Array
      Throws:
      java.lang.Exception - Thrown on Error/Exception Situation