Geometric Brownian Motion

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• topic:: 00 Statistics00 Statistics
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• updated:: 2022-06-05 Private or Broken Links
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• a continuous-time stochastic process in which the logarithm of the randomly varying quantity follows a Brownian motion (also called a Wiener process) with drift
• It is an important example of stochastic processes satisfying a stochastic differential equation (SDE); in particular, it is used in mathematical finance to model stock prices in the Black–Scholes model.