diff --git a/cpp/full_code/ornstein_uhlenbeck_process.cpp b/cpp/full_code/ornstein_uhlenbeck_process.cpp index e02cb771e2deed39f074692181f38cba213a623d..653c2540f01ee18661346b04945c6cade09450d2 100644 --- a/cpp/full_code/ornstein_uhlenbeck_process.cpp +++ b/cpp/full_code/ornstein_uhlenbeck_process.cpp @@ -188,10 +188,13 @@ void ornstein_uhlenbeck_process<rnumber,be>::initialize_B() template <class rnumber, field_backend be> void ornstein_uhlenbeck_process<rnumber, be>::let_converge(void) { - //add some logic here TODO - for(int i=0; i<1000; i++) + double ou_kmin = sqrt(this->ou_kmin_squ); + double tau = 1.0/this->gamma(ou_kmin); + double dt = tau/1000.; + + for(int i=0; i<2000; i++) { - this->step(2e-3); + this->step(dt); } }