GeometricBrownianMotionProcess

GeometricBrownianMotionProcess[μ,σ,x0]

represents a geometric Brownian motion process with drift μ, volatility σ, and initial value x0.

Details

Examples

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Basic Examples  (3)

Simulate a geometric Brownian motion process:

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Mean and variance functions:

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Covariance function:

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Scope  (13)

Generalizations & Extensions  (1)

Applications  (2)

Properties & Relations  (7)

Neat Examples  (3)

See Also

WienerProcess  OrnsteinUhlenbeckProcess  BrownianBridgeProcess  LogNormalDistribution

Introduced in 2012
(9.0)
| Updated in 2017
(11.1)