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What is Brownian Motion in Financial Mathematics about?

This document discusses Brownian motion and its applications in financial mathematics. It provides definitions and properties of Brownian motion, including its relation to the central limit theorem. Applications discussed include using Brownian motion to model stock price fluctuations, investment decisions under uncertainty, and decision making processes. Geometric Brownian motion is introduced as a model for stock prices where the mean and standard deviation change proportionally with time.

Author

Lee Shin Leong

Language

EN