Module rough_ou 

Rough Ornstein-Uhlenbeck process.

A fractional Ornstein-Uhlenbeck process approximated via a multi-factor Markovian representation (Abi Jaber, 2019).

Structs

RoughOUState

State for the multi-factor rough OU process.

RoughOrnsteinUhlenbeck

Rough Ornstein-Uhlenbeck process with Hurst parameter H.