b**********5
发帖数: 51 | 1 Is Geometric Brownian Motion a Lognormal Random Walk? If so, why it's
lognormal, I
mean how could we know it's lognormal?
What are the usually used stochastic process with Lognormal Random Walk?
Finally what Geometric mean in the term Geometric Brownian Motion?
Thanks for idea in advance. | a**n
发帖数: 3801 | 2 因为你取一下log就变成normal了
【在 b**********5 的大作中提到】
: Is Geometric Brownian Motion a Lognormal Random Walk? If so, why it's
: lognormal, I
: mean how could we know it's lognormal?
: What are the usually used stochastic process with Lognormal Random Walk?
: Finally what Geometric mean in the term Geometric Brownian Motion?
: Thanks for idea in advance.
| b**********5
发帖数: 51 | 3 对谁取log？log(dS), log(dS/S) or log(S) | f*****s
发帖数: 141 | 4 Lognormal的定义：log(X) is normal, then X is lognormal.
GBM is a lognormal with log(X_t) ~ N(logX_0+(mu-sigma^2/2)t, sigma^2*t) |
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