A C# Ornstein-Uhlenbeck class

Posted: January 17, 2011 in Uncategorized

Here (https://sourceforge.net/projects/autospreader/files/C%23/OrnsteinUhlenbeck.cs/download) is the file…it has a dependency on GeneralMatrix again (http://www.codeproject.com/KB/recipes/psdotnetmatrix.aspx).  Enjoy!

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Comments
  1. candy chiu says:

    Hi, do you know any good Math libs in C#? I am looking for a solver and an optimizer. Thanks for you help.

    • autospreader says:

      I was going to type out a list but did a quick bit of Googling and found this [http://stackoverflow.com/questions/1387430/recommended-math-library-for-c-net] link. I personally like IMSL.

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