Technical Definition: The SDE
A stochastic process St is said to follow a GBM if it satisfies the following stochastic differential equation (SDE):
where is a Wiener process or Brownian motion and ('the percentage drift') and ('the percentage volatility') are constants. The latter term is often used to model a set of unpredictable events occurring during this motion, while the former is used to model deterministic trends.
Read more about this topic: Geometric Brownian Motion
Famous quotes containing the word technical:
“Woman is the future of man. That means that the world which was once formed in man’s image will now be transformed to the image of woman. The more technical and mechanical, cold and metallic it becomes, the more it will need the kind of warmth that only the woman can give it. If we want to save the world, we must adapt to the woman, let ourselves be led by the woman, let ourselves be penetrated by the Ewigweiblich, the eternally feminine!”
—Milan Kundera (b. 1929)