Example: biology
Mean Reverting
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Slides on ARIMA models--Robert Nau - Duke University
people.duke.edufast the series tends to return to its mean. If the coefficient is near zero, the series returns to its mean quickly; if the coefficient is near 1, the series returns to its mean slowly. • In a model with 2 or more AR coefficients, the sum of the coefficients determines the speed of mean reversion, and
LECTURE 12: STOCHASTIC DIFFERENTIAL EQUATIONS, …
www.stat.uchicago.eduwander very far from then the \mean-reversion" term (Yt )dt becomes larger, forcing Yt back toward . The coe cients of the stochastic di erential equation (11) satisfy the hypotheses of Theorem 2, and so for every possible initial state y0 2 R there is a unique solution Yt. In fact, it is possible to give an explicit representation of the solution.