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3 Definition of SBM on 0,).
Sharpe, and are concerned with defining the concepts of financial assets and markets, portfolios, gains and wealth in terms of continuous-time stochastic processes.
It is the process with "stationary and independent Gaussian increments".
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Aug 30, 2020 Thus, the standard Brownian motion (SBM) on 0, 1 is Gaussian process with continuous trajectories on 0, 1. Brownian motion with drift is a process of the form X(t) B(t)&181;t where B is standard Brownian motion, introduced earlier.
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