Geometric Brownian motion: Revision history

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curprev 18:0818:08, 28 February 2024‎ Zfeinst talk contribs‎ 14,669 bytes −10‎ Undid revision 1210061840 by DRqosmRn (talk) revert good faith edit, the $\sigma^2 t$ term already exists in the paranthetical undo Tag: Undo

curprev 20:4220:42, 24 February 2024‎ DRqosmRn talk contribs‎ 14,679 bytes +10‎ →‎Properties of GBM: corrected the variance formula undo Tags: Reverted Visual edit

curprev 21:2621:26, 21 January 2024‎ 2a02:c7c:ec4f:5f00:e82e:cbae:cc1d:1226 talk‎ 14,669 bytes +33‎ →‎Multivariate version undo

curprev 10:4510:45, 27 December 2023‎ Citation bot talk contribs‎ 14,636 bytes −83‎ Removed proxy/dead URL that duplicated identifier. | Use this bot. Report bugs. | #UCB_CommandLine undo

curprev 23:5023:50, 3 November 2023‎ InternetArchiveBot talk contribs‎ 14,719 bytes +187‎ Rescuing 1 sources and tagging 0 as dead.) #IABot (v2.0.9.5) (AManWithNoPlan - 16003 undo

curprev 03:0603:06, 30 August 2023‎ Citation bot talk contribs‎ 14,532 bytes +46‎ Alter: pages. Add: doi, issue. Formatted dashes. | Use this bot. Report bugs. | Suggested by Corvus florensis | #UCB_webform 319/2500 undo

curprev 08:1708:17, 22 June 2023‎ 2a02:1210:2642:4a00:5846:aa29:f37c:805c talk‎ 14,486 bytes −11‎ →‎Technical definition: the SDE undo

curprev 04:1404:14, 9 June 2023‎ WikiCleanerBot talk contribs‎ m 14,497 bytes −1‎ v2.05b - Bot T20 CW#61 - Fix errors for CW project (Reference before punctuation) undo Tag: WPCleaner

curprev 15:2415:24, 7 June 2023‎ DamianoBrigo2 talk contribs‎ m 14,498 bytes +1‎ Fixed typo undo Tags: Visual edit Mobile edit Mobile web edit

curprev 17:3417:34, 6 June 2023‎ DamianoBrigo2 talk contribs‎ m 14,497 bytes −1‎ No edit summary undo Tags: Visual edit Mobile edit Mobile web edit
curprev 16:3916:39, 6 June 2023‎ DamianoBrigo2 talk contribs‎ m 14,498 bytes +2‎ No edit summary undo
curprev 16:3616:36, 6 June 2023‎ DamianoBrigo2 talk contribs‎ 14,496 bytes +155‎ No edit summary undo
curprev 16:1616:16, 6 June 2023‎ DamianoBrigo2 talk contribs‎ 14,341 bytes +2,602‎ Added arithmetic Brownian motion, absent in Wikipedia as far as I could see. Added reference to multivariate case and removed banner. Added reference to mixture dynamics, Heston models and volatility smile problem. undo

curprev 23:5123:51, 31 May 2023‎ Hellacioussatyr talk contribs‎ 11,739 bytes +5‎ →‎Simulating sample paths undo Tag: 2017 wikitext editor

curprev 17:5517:55, 22 February 2023‎ Citation bot talk contribs‎ 11,734 bytes +61‎ Alter: pages. Add: s2cid, arxiv, doi. Formatted dashes. | Use this bot. Report bugs. | Suggested by Corvus florensis | #UCB_webform 2985/3499 undo

curprev 09:1709:17, 30 January 2023‎ MaxwellMolecule talk contribs‎ 11,673 bytes −20‎ Undid revision 1136434461 by Nurujjaman gazi (papan Raj) (talk) revert test edit undo Tag: Undo
curprev 08:0908:09, 30 January 2023‎ Nurujjaman gazi (papan Raj) talk contribs‎ m 11,693 bytes +20‎ No edit summary undo Tags: Reverted Visual edit Mobile edit Mobile web edit Newcomer task Newcomer task: references

curprev 07:2007:20, 19 December 2022‎ WikiCleanerBot talk contribs‎ m 11,673 bytes 0‎ v2.05b - Bot T20 CW#61 - Fix errors for CW project (Reference before punctuation) undo Tag: WPCleaner

curprev 08:1408:14, 13 December 2022‎ Rorubs talk contribs‎ 11,673 bytes +626‎ Added links to A. Rej et al. article undo

curprev 19:3219:32, 14 November 2022‎ Zfeinst talk contribs‎ 11,047 bytes −13‎ Undid revision 1121822801 by 2001:620:610:602:B056:564:AA13:91CF (talk) Revert good faith edit undo Tag: Undo
curprev 09:1809:18, 14 November 2022‎ 2001:620:610:602:b056:564:aa13:91cf talk‎ 11,060 bytes +13‎ →‎Properties undo Tag: Reverted

curprev 14:0914:09, 6 October 2022‎ MatthHo talk contribs‎ 11,047 bytes −90‎ →‎External links: removed a dead link undo

curprev 22:1022:10, 6 May 2022‎ Zfeinst talk contribs‎ 11,137 bytes −73‎ Undid revision 1086026149 by 88.136.99.51 (talk) the volatility is already accounted for in S_t undo Tag: Undo

curprev 19:0719:07, 3 May 2022‎ 88.136.99.51 talk‎ 11,210 bytes +73‎ Fix formulae for unconditional expectation and variance undo Tag: Reverted

curprev 00:4600:46, 30 March 2022‎ Ffffrr talk contribs‎ 11,137 bytes +52‎ Adding local short description: "Continuous stochastic process", overriding Wikidata description "continuous stochastic process where the logarithm of a variable follows a Brownian movement, that is a Wiener process." (Shortdesc helper) undo

curprev 23:2323:23, 10 January 2022‎ Biggerj1 talk contribs‎ 11,085 bytes +59‎ No edit summary undo
curprev 05:0505:05, 10 January 2022‎ Cedar101 talk contribs‎ m 11,026 bytes −1‎ →‎Simulating sample paths: lang="numpy" undo

curprev 19:2119:21, 30 October 2021‎ Jonesey95 talk contribs‎ 11,027 bytes −2‎ Fix Linter errors. So much improper indenting in this article.... undo

curprev 12:1212:12, 4 June 2021‎ 2a00:1358:f080:d5:58e4:9616:e7d0:dc59 talk‎ 11,029 bytes −4‎ →‎Extensions undo Tag: Manual revert
curprev 12:1212:12, 4 June 2021‎ 2a00:1358:f080:d5:58e4:9616:e7d0:dc59 talk‎ 11,033 bytes +4‎ →‎Extensions undo Tag: Reverted

curprev 23:2223:22, 19 March 2021‎ 179.25.123.195 talk‎ 11,029 bytes 0‎ →‎External links undo

curprev 00:2800:28, 19 December 2020‎ Monkbot talk contribs‎ m 11,029 bytes +1‎ Task 18 (cosmetic): eval 4 templates: hyphenate params (1×); undo Tag: AWB

curprev 21:0821:08, 21 September 2020‎ JJMC89 bot III talk contribs‎ m 11,028 bytes +23‎ Moving Category:Articles with example Python code to Category:Articles with example Python (programming language) code per Wikipedia:Categories for discussion/Speedy undo

curprev 22:1422:14, 28 July 2020‎ 73.77.49.79 talk‎ 11,005 bytes +5‎ →‎Solving the SDE: Fixed typo undo

curprev 22:0922:09, 20 July 2020‎ Mersenne56 talk contribs‎ 11,000 bytes +2,003‎ →‎Properties: Added derivation for the probability density function of GBM undo Tag: Visual edit

curprev 09:2909:29, 29 June 2020‎ Zfeinst talk contribs‎ 8,997 bytes −59‎ Undid revision 965022949 by Parklane79 (talk) cited reference is for lognormal; GBM is defined on this page by dS/S = mu dt + sigma dW which is lognormal([mu-sigma^2/2] t , sigma^2 t) due to Ito Calculus (see http://www.math.unl.edu/~sdunbar1/MathematicalFinance/Lessons/StochasticCalculus/GeometricBrownianMotion/geometricbrownian.pdf or http://www-users.math.umn.edu/~grayx004/pdf/FM5002/BMandGBMdoc.pdf) undo Tag: Undo

curprev 23:2423:24, 28 June 2020‎ Parklane79 talk contribs‎ 9,056 bytes +59‎ Previous edit was correct, for reference http://www.columbia.edu/~ks20/FE-Notes/4700-07-Notes-GBM.pdf undo Tag: Undo
curprev 20:5520:55, 28 June 2020‎ Zfeinst talk contribs‎ 8,997 bytes −59‎ Undid revision 964696119 by Parklane79 (talk) Revert good faith edit - the mean of the log of S_t process is (mu - sigma^2/2)t due to Ito calculus undo Tag: Undo

curprev 01:2401:24, 27 June 2020‎ Parklane79 talk contribs‎ 9,056 bytes +59‎ Updated the expectation and variance of the S_t. It was missing the sigma^2 term. undo Tag: Visual edit

curprev 07:3207:32, 27 May 2020‎ Skeletonwizard8 talk contribs‎ 8,997 bytes −2‎ Undid revision 959122082 by 138.38.95.89 (talk) undo Tag: Undo
curprev 07:3107:31, 27 May 2020‎ 138.38.95.89 talk‎ 8,999 bytes +2‎ →‎Simulating sample paths undo

curprev 13:2413:24, 22 May 2020‎ Zfeinst talk contribs‎ 8,997 bytes −25‎ Undid revision 958163570 by 5.173.164.88 (talk) this is only the Kronecker delta if the Brownian motions are uncorrelated undo Tag: Undo
curprev 06:4806:48, 22 May 2020‎ 5.173.164.88 talk‎ 9,022 bytes +25‎ →‎Multivariate version: better notation undo Tags: Mobile edit Mobile web edit

curprev 20:2020:20, 28 March 2020‎ Bradv talk contribs‎ m 8,997 bytes −29‎ Removing link(s): Wikipedia:Articles for deletion/Multiplicative calculus closed as delete (XFDcloser) undo

curprev 09:4109:41, 27 January 2020‎ Frap talk contribs‎ m 9,026 bytes −3‎ →‎Simulating sample paths: Blackened undo

curprev 21:0321:03, 26 January 2020‎ 89.41.95.237 talk‎ 9,029 bytes −5‎ →‎Simulating sample paths undo
curprev 00:0100:01, 26 January 2020‎ 89.41.95.237 talk‎ 9,034 bytes −20‎ →‎Simulating sample paths undo

curprev 23:5723:57, 25 January 2020‎ 89.41.95.237 talk‎ 9,054 bytes +39‎ →‎Simulating sample paths undo
curprev 23:5423:54, 25 January 2020‎ 89.41.95.237 talk‎ 9,015 bytes −97‎ →‎Simulating sample paths undo

curprev 22:5422:54, 11 January 2020‎ 137.68.159.103 talk‎ 9,112 bytes 0‎ ô edit undo

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