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28th Southeastern-Atlantic Regional Conference on Differential Equations
October 10-11, 2008
University of Arkansas at Little Rock
Little Rock Arkansas, USA

Organizers
Eric R. Kaufmann, Nickolai Kosmatov

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Ornstein-Uhlenbeck dynamic equation and its connection with the Vasicek mean reversion model.
by
Suman Sanyal
Clarkson University
Coauthors: Martin J. Bohner

We introduce the Ornstein-Uhlenbeck dynamic equation XD(t)=-aX(t)+bWD(t), X(t0)=X0, where W is a Wiener process on T and derive a representation for its solution. Results related to the expectation and variance of the stochastic process X and its connection with the Vasicek mean reversion model are presented.

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Date received: September 4, 2008

Copyright © 2008 by the author(s). The author(s) of this document and the organizers of the conference have granted their consent to include this abstract in Atlas Conferences Inc. Document # caww-20.