Journal or Book Title
The geometric Brownian motion (GBM) process is frequently invoked as a model for such diverse quantities as stock prices, natural resource prices and the growth in demand for products or services. We discuss a process for checking whether a given time series follows the GBM process. Methods to remove seasonal variation from such a time series are also analyzed. Of four industries studied, the historical time series for usage of established services meet the criteria for a GBM; however, the data for growth of emergent services do not.
Taylor and Francis Inc.
Marathe, Rahul Ratnakar and Ryan, Sarah M., "On the Validity of the Geometric Brownian Motion Assumption" (2005). Industrial and Manufacturing Systems Engineering Publications. 25.