Wednesday, January 20, 2021

Brownian Motion:

Brownian motion is the macroscopic picture emerging from a particle moving randomly in d-dimensional space. On the microscopic level, at any time step, the particle receives a random displacement, caused for example by other particles hitting it or by an external force.

A geometric Brownian motion is a continuous-time stochastic process in which the logarithm of the randomly varying quantity follows a Brownian motion.





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