Explains how the GBM stochastic differential equation arises as a generalisation of the discrete growth and decay process, and then solves the GBM SDE.
Really love this fundamental addition to your stochastic calculus / sde series, I am personally taking the time to learn some statistical mechanics as it seems the physical intuition helps me.
This youtube channel should be made popular..Phenomenal explanation!!!
thanks for being so kind! thank you!
Great explanation and appreciate the hints on simulation!! Happy Pi(e) day!
Really love this fundamental addition to your stochastic calculus / sde series, I am personally taking the time to learn some statistical mechanics as it seems the physical intuition helps me.
With that said, I wish you a fantastic new year and hope your holidays have been fantastic thus far.
Thanks Brian! Yes that is the way to go! These things are a lot easier to understand when visualised as particles, waves, and states (and cats!)!
And a very happy new year to you too!! Hope you are enjoying the festive season too!
@@quantpie I actually bursted out laughing when I read the (and cats!)! LOL. Wishing you the best of health and fortune in the new year.
Super clear presentation 👍👍👍👍👍
O wow that was so clear to follow
Thanks @Mi Les!
Brilliant video - thank you! Thoroughly enjoyed following this.
Glad you enjoyed it! thanks!
Happy New year guys...A good explanation once again ...
Thanks @Herve Franck, and a very happy New Year to you too!
Great video
Thanks!
Hi! Could you prompt how can I find out the probability that GBM (dX=X(r*dt+sigma*dB) will less than constant in all time t before T?
Total trash this “explanation”.