ou.h

#pragma once
#include <cmath>
 
namespace tinker {
inline double OUProcess(double t, double x0, double gamma, double a, double b,
   double R)
{
   if (gamma == 0) {
      return x0 + a * t + b * R * std::sqrt(t);
   } else {
      auto gt = -gamma * t;
      auto egt = std::exp(gt);
      auto c1 = (1 - egt) / gamma;
      auto c2 = (1 - egt * egt) / (2 * gamma);
      return x0 * egt + a * c1 + b * R * std::sqrt(c2);
   }
}
}