A generalization of geometric Brownian motion with applications

Yu Sheng Hsu, Cheng Hsun Wu

Research output: Contribution to journalArticlepeer-review

4 Scopus citations


Although geometric Brownian motion has a great variety of applications, it can not cover all the random phenomena. The purpose of this article is to propose a model that generalizes geometric Brownian motion. We present some interesting applications of this model in financial engineering and statistical inferences for the unknown parameters.

Original languageEnglish
Pages (from-to)2081-2103
Number of pages23
JournalCommunications in Statistics - Theory and Methods
Issue number12
StatePublished - Jan 2011


  • Brownian motion
  • First passage time
  • Geometric Brownian motion
  • Optimal portfolio selection problem
  • Option pricing
  • Perpetual warrant


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