import numpy as np
import matplotlib.pyplot as plt
import math
import random
 
tBegin=0
tEnd=2
dt=.00001
 
t = np.arange(tBegin, tEnd, dt)
N = t.size 
IC=0
theta=1
mu=1.2
sigma=0.3
 
sqrtdt = math.sqrt(dt)
y = np.zeros(N)
z = np.zeros(N)
y[0] = IC
z[0] = IC
for i in xrange(1,N):
    y[i] = y[i-1] + dt*(theta*(mu-y[i-1])) + sigma*sqrtdt*random.gauss(0,1)
    z[i] = z[i-1] + dt*(theta*(mu-z[i-1]))
ax = plt.subplot(111)
ax.plot(t,y)
ax.plot(t,z)
plt.show()