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翻訳と辞書　辞書検索 [ 開発暫定版 ] スポンサード リンク Geometric Brownian motion ： ウィキペディア英語版 Geometric Brownian motion A geometric Brownian motion (GBM) (also known as exponential Brownian motion) is a continuous-time stochastic process in which the logarithm of the randomly varying quantity follows a Brownian motion (also called a Wiener process) with drift. It is an important example of stochastic processes satisfying a stochastic differential equation (SDE); in particular, it is used in mathematical finance to model stock prices in the Black–Scholes model. ==Technical definition: the SDE== A stochastic process ''S''''t'' is said to follow a GBM if it satisfies the following stochastic differential equation (SDE): :$dS\_t\; =\; \backslash mu\; S\_t\backslash ,dt\; +\; \backslash sigma\; S\_t\backslash ,dW\_t$ where $W\_t$ is a Wiener process or Brownian motion, and $\backslash mu$ ('the percentage drift') and $\backslash sigma$ ('the percentage volatility') are constants. The former is used to model deterministic trends, while the latter term is often used to model a set of unpredictable events occurring during this motion. 抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』 ■ウィキペディアで「Geometric Brownian motion」の詳細全文を読む スポンサード リンク 翻訳と辞書 : 翻訳のためのインターネットリソース Copyright(C) kotoba.ne.jp 1997-2016. All Rights Reserved.