dev.nm.stat.stochasticprocess.univariate.sde.process

Class GBMProcess

java.lang.Object

dev.nm.stat.stochasticprocess.univariate.sde.SDE

dev.nm.stat.stochasticprocess.univariate.sde.process.GBMProcess

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

Constructor Summary

Constructors

Constructor and Description
GBMProcess(double r, double sigma) Construct a Geometric Brownian motion. \[ dS = rSdt + \sigma SdW \]

Method Summary

Methods inherited from class dev.nm.stat.stochasticprocess.univariate.sde.SDE

diffusion, drift, getFt

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

GBMProcess

public GBMProcess(double r,
                  double sigma)

Construct a Geometric Brownian motion. \[ dS = rSdt + \sigma SdW \]

Parameters:

r - the log drift

sigma - the log diffusion coefficient