Stochastic Processes Simulation — Generalized Geometric Brownian Motion

Stochastic Processes Simulation — Generalized Geometric Brownian Motion

Part 5 of the Stochastic Processes Simulation series. Simulate generalized Brownian motion in Python.

Alas, we come to the end of our journey through the Stochastic Processes Simulation series. But we saved the best for last. In this story, we will explore generalized geometric Brownian motion.

Generalized geometric Brownian motion occurs when the quotient of the process differential, and the process itself follows an Itô diffusive process. Geometric Brownian …

monte-carlo-simulation processes simulation stochastic stochastic process time-series-analysis