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
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“A technical objection is the first refuge of a scoundrel.”
—Heywood Broun (1888–1939)