Probability theory and stochastic processes Brownian motion Concept
Geometric Brownian motion
Summary
Geometric Brownian motion is a positive process whose logarithm is a Brownian motion with drift. It solves the stochastic differential equation . It is the model of stock prices in the Black–Scholes theory of option pricing.
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About this page
| Tag | D48DR46B97 |
|---|---|
| URI | m2://D48DR46B97 |
| Kind | concept |
| Writing | W0 stub |
| MSC | 60J65, 91G30 |
| Specializes | Diffusion process |
| Same as | |
| Changed | 2 November 2026 |
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