GeometricBrownianMotionProcess

GeometricBrownianMotionProcess[μ, σ, x0] represents a geometric Brownian motion process with drift μ, volatility σ, and initial value x0.

Examples

Define a geometric Brownian motion process:

proc = GeometricBrownianMotionProcess[0.1, 0.2, 100]

Simulate a sample path:

RandomFunction[proc, {0, 1, 0.01}]

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