Class GBMProcess
- java.lang.Object
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- dev.nm.stat.stochasticprocess.univariate.sde.SDE
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- dev.nm.stat.stochasticprocess.univariate.sde.process.GBMProcess
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public class GBMProcess extends SDE
A Geometric Brownian motion (GBM) (occasionally, exponential Brownian motion) is a continuous-time stochastic process in which the logarithm of the randomly varying quantity follows a Brownian motion.- See Also:
- Wikipedia: Geometric Brownian motion
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Constructor Summary
Constructors Constructor Description GBMProcess(double r, double sigma)
Construct a Geometric Brownian motion.
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