All Questions
Tagged with mean-reversion stochastic-processes
19
questions
4
votes
1
answer
17k
views
Speed of mean reversion of an interest rate model
I would like to have a bit more of intuition about the concept of "speed of mean reversion" for an interest rate model, e.g. Vasicek or CIR. In particular, is a negative speed of mean reversion ...
- 698
12
votes
4
answers
12k
views
Is a stationary process necessarily mean-reverting?
Intuitively, a stationary stochastic process needs to be mean-reverting. This should follow immediately from the definition of stationarity: the mean of the process needs to be constant over time, so ...
- 472
5
votes
2
answers
2k
views
Why is OU process stationary?
The mean and variance of Ornstein–Uhlenbeck (OU) process have time dependence (exponentially decay in time). So they are not constant in time. How can it to be stationary?
- 51
0
votes
0
answers
200
views
Exact value of mean reversion rate knowing terminal value of the process
Let you have the following mean reverting process:
$\text{d}x_{t}=a(\theta-x_{t})\text{d}t$,
where the diffusion term is absent, that is this process is not stochastic.
Let you know the value of $\...
- 2,133