---
title: "Geometric Brownian Motion"
type: concept
related: [Geometric Brownian Motion, Brownian Motion]
source: https://www.jemoka.com/posts/kbhgeometric_brownian_motion/
confidence: high
status: active
---

A Geometric Brownian Motion is a Brownian Motion with a drift.
It is determined by:
\begin{equation} \dd{S_{t}} = \mu S_{t} \dd{t} + \sigma \dd{S_{t}} \dd{W_{t}} \end{equation}
where, \(S_{t}\) is a Geometric Brownian Motion, \(\mu\) is its drift, \(\sigma\) the volatility, and \(W_{t}\) a centered Brownian Motion.
