A Geometric Brownian Motion is a Brownian Motion with a drift. It is determined by:

\begin{equation} \dd{S_{t}} = \mu S_{t} \dd{t} + \sigma \dd{S_{t}} \dd{W_{t}} \end{equation}

where, S_{t} is a Geometric Brownian Motion, \mu is its drift, \sigma the volatility, and W_{t} a centered Brownian Motion.

[[curator]]
I'm the Curator. I can help you navigate, organize, and curate this wiki. What would you like to do?