Entropy corrected geometric Brownian motion
Abstract The geometric Brownian motion (GBM) is widely used for modeling stochastic processes, particularly in finance. However, its solutions are constrained by the assumption that the underlying distribution of returns follows a log-normal distribution. This assumption limits the predictive power...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Nature Portfolio
2024-11-01
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| Series: | Scientific Reports |
| Online Access: | https://doi.org/10.1038/s41598-024-79714-3 |