Skip to content
START WITH A QUESTION

What would you like to understand?

Find an answer. See the moment it becomes clear. Follow the idea further.

← Concept directory

Answers for “几何布朗运动的显式解公式是什么?”

1 keyword matches

Understanding your question. You can explore the search results below now.

Meet the concept

↗

The final explicit solution for the geometric Brownian motion process SS is S=c1eσW+(μ−12σ2)tS = c_1 e^{\sigma W + \left(\mu - \frac{1}{2}\sigma^2\right)t}, where c1c_1 is an integration constant determined by the initial condition.

Conditions: μ\mu and σ\sigma are constant.; The ansatz S=f(W,t)S=f(W,t) is valid.; The ODE for ϕ(t)\phi(t) is solved.