21 January 2013 11:07:25 PM

OU_TEST:
  C++ version.
  Test the OU library.

OU_EULER_TEST:
  Estimate a solution to the Ornstein-Uhlenbeck equation
  using the Euler method for stochastic differential equations.

  Using decay rate THETA = 2
  Using mean MU = 1
  Using variance SIGMA = 0.15
  Using initial value X0 = 2
  Using final time TMAX = 3
  Using number of timesteps N = 10000
  Using value of random SEED = 123456789

OU_EULER:
  C++ version
  Use an Euler method to approximate the solution of
  the Ornstein-Uhlenbeck stochastic differential equation:

    d x(t) = theta * ( mu - x(t) ) dt + sigma dW

  with initial condition x(0) = x0.
  Created data file "ou_euler_data.txt".
  Created command file 'ou_euler_commands.txt'

OU_EULER_MARUYAMA_TEST:
  Estimate a solution to the Ornstein-Uhlenbeck equation
  using the Euler-Maruyama method for stochastic 
  differential equations.

  Using decay rate THETA = 2
  Using mean MU = 1
  Using variance SIGMA = 0.15
  Using initial value X0 = 2
  Using final time TMAX = 3
  Using number of large timesteps N = 10000
  Using number small time steps per one large time step R = 16
  Using value of random SEED = 123456789

OU_EULER_MARUYAMA:
  C++ version
  Use an Euler-Maruyama method to approximate the solution of
  the Ornstein-Uhlenbeck stochastic differential equation:

    d x(t) = theta * ( mu - x(t) ) dt + sigma dW

  with initial condition x(0) = x0.
  Created data file "ou_euler_maruyama_data.txt".
  Created command file 'ou_euler_maruyama_commands.txt'

OU_TEST:
  Normal end of execution.

21 January 2013 11:07:25 PM