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Geometric Brownian motion · Vinony

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EntityQ1503307· pop 13· linked from 226 articles

Geometric Brownian motion

continuous stochastic process where the logarithm of a variable follows a Brownian movement, that is a Wiener process

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Markov chain

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stochastic process

queueing theory

Poisson process

càdlàg function

optional stopping theorem

quadratic variation

International Standard Book Number

digital object identifier

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machine learning

probability theory

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What links here226 pages

stochastic calculus

Branching process

independent and identically distributed random variables

percolation theory

uniform integrability

Schramm–Loewner evolution

large deviations theory

risk-neutral measure

additive process

Predictable process

Black–Scholes model

Feynman–Kac formula

Euler–Maruyama method

Donsker's theorem

Markov property

exchangeable random variables

convergence of random variables

Doob's martingale inequality