Simulate sample paths from an Ornstein-Uhlenbeck process using the
Euler-Maruyama discretization scheme.
Usage
r.ou(n, t, mu = 0, theta = 1, sigma = 1, x0 = 0, seed = NULL)
Arguments
- n
Number of sample paths to generate.
- t
Evaluation points (numeric vector).
- mu
Long-term mean (default 0).
- theta
Mean reversion rate (default 1).
- sigma
Volatility (default 1).
- x0
Initial value (default 0).
- seed
Optional random seed.
Value
An fdata object containing the simulated paths.
Details
The OU process satisfies the SDE:
dX(t) = -theta * X(t) dt + sigma * dW(t)
Examples
t <- seq(0, 1, length.out = 100)
ou_data <- r.ou(n = 20, t = t, theta = 2, sigma = 1)
plot(ou_data)
