Class GeometricBrownianMotion

All Implemented Interfaces:
Process1D.ComponentProcess<LogNormal>, RandomProcess<LogNormal>

public final class GeometricBrownianMotion extends SingleValueBasedProcess<LogNormal> implements Process1D.ComponentProcess<LogNormal>
Diffusion process defined by a stochastic differential equation:
 dX = r X dt + s X dW
 
A stochastic process is said to follow a geometric Brownian motion if it satisfies this stochastic differential equation.
  • Field Details

    • GENERATOR

      private static final WienerProcess GENERATOR
    • myDiffusionFunction

      private final double myDiffusionFunction
    • myLocalDrift

      private final double myLocalDrift
  • Constructor Details

    • GeometricBrownianMotion

      public GeometricBrownianMotion(double localDrift, double diffusionFunction)
    • GeometricBrownianMotion

      private GeometricBrownianMotion()
  • Method Details