mean - R code for Ornstein-Uhlenbeck process

Can any one help me with some R code to run Ornstein-Uhlenbeck process?

Answer

The code of Euler Maruyama simulation method is pretty simple (nu is long run mean, lambda is mean reversion speed):

ornstein_uhlenbeck <- function(T,n,nu,lambda,sigma,x0){
  dw  <- rnorm(n, 0, sqrt(T/n))

  dt  <- T/n
  x <- c(x0)
  for (i in 2:(n+1)) {
    x[i]  <-  x[i-1] + lambda*(nu-x[i-1])*dt + sigma*dw[i-1]
  }
  return(x);
}