Ito Process Random Walk Model

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Ito Process Random Walk Model


Description

This simple model illustrates how an Ito process can be modeled with the History Generator element. An Ito process does a simple random walk for a value with an underlying exponential growth rate expressed as the expected normalized growth per year, and a normalized variance that increases linearly with time. It is widely used for simulating the value of an investment.

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See Also

Other Business and Financial models

 

Making Better Decisions In An Uncertain World

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