The incident occurred between 7.15pm and 8.30pm in Privett Park on Saturday, and police do not have a description of the man at this time.
Officers have been reviewing local CCTV footage and conducting enquires after the woman reported the incident to the police.
It is believed that a number of people may have been using the park during the time frame, or that dog walkers may have been near the cricket and football clubs.
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Police are asking anyone with information to come forward.
Hampshire Constabulary said: “Were you using the park during this time, particularly near to the cricket and football clubs? Did you see or hear anything related to this incident, or have any information that could help our investigation?
“Did you see anyone acting suspiciously, and do you have a description of this person?
“Anyone with information is asked to contact us online or on 101 quoting 44240477974.”
