Geometric Brownian motion Geometric Brownian motion A geometric Brownian motion (GBM) (also known as exponential Brownian motion) is a continuous-time stochastic process in which the logarithm of the randomly varying quantity follows a Brownian motion (also called a Wiener process) with drift. It is an important example of stochastic processes satisfying a stochastic differential equation (SDE); in particular, it is used in mathematical finance to model stock prices in the Black–Scholes model. A stochastic process "S" is said to follow a GBM if it satisfies the following stochastic differential equation (SDE): where formula_2 is a Wiener process or Brownian motion, and formula_3 ('the
Brownian motion motion can be measured as "v" = Δ"x"/Δ"t", when Δ"t" « "τ", where "τ" is the momentum relaxation time. In 2010, the instantaneous velocity of a Brownian particle (a glass microsphere trapped in air with optical tweezers) was measured successfully. The velocity data verified the Maxwell–Boltzmann velocity distribution, and the equipartition theorem for a Brownian particle. In stellar dynamics, a massive body (star, black hole, etc.) can experience Brownian motion as it responds to gravitational forces from surrounding stars. The rms velocity "V" of the massive object, of mass "M", is related to the rms velocity formula_34 of the background