Web: https://towardsdatascience.com/stochastic-processes-simulation-geometric-brownian-motion-31ec734d68d6?source=rss----7f60cf5620c9---4

May 12, 2022, 2:48 p.m. | Diego Barba

Towards Data Science - Medium towardsdatascience.com

Stochastic Processes Simulation — Geometric Brownian Motion

Part 4 of the Stochastic Processes Simulation series. Simulating geometric Brownian motion in Python from scratch.

Image by author.

Geometric Brownian motion is perhaps the most famous stochastic process aside from Brownian motion itself. It arises when we consider a process whose increments’ variance is proportional to the value of the process.

In this story, we will discuss geometric (exponential) Brownian motion. We will learn how to simulate such a process and estimate …

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

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