Geom Brownian Process


Geom Brownian Process is a direct subtype of Stoch Process 1D
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with functions Geom Brownian Process Functions, keys Geom Brownian Process keys and example object GmBrProc#1

TYPE INCLUSION RELATIONSHIPS

Stoch Process 1D

Geom Brownian Process

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AVAILABLE FUNCTIONS

Create

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AVAILABLE CREATE FUNCTION KEYS

Mu

Sigma

X0

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TYPICAL OBJECTS OF TYPE Geom Brownian Process

GmBrProc

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This type represents a Geometric Brownian stochastic process with constant drift and volatility parameters.
The diffusion equation of the stochastic process x is:
dx = μxdt + σxdw
where μ,σ are constant parameters that describe the drift and lognormal volatility of x