The Wiener process is a continuous-time stochastic process named in honor of Norbert Wiener. It’s commonly used to represent noise or financial development with a random component.

The geometric brownian motion can be calculated to visualize certain bounds (in quantiles) to hint about the absolute range. For calculation following parameters are required:

  • µ (mu): mean percentage
  • σ (sigma): variance
  • t: time period
  • v: Initial value

The extension to the regular calculation uses: m: Value increase per time period (in my case monthly value) breaks: Quantile breaks to calculate the bounds

Code to calculate the values:

Applying the values:

  • mu: 0.05 (or 5%)
  • sigma: 0.1 (or 10%)
  • initial value: 7000
  • monthly increase: 100
  • time period: 6 years

results in the following chart:

The code is available from Github. It ships with a Swing GUI to enter values and to draw a chart based on the calculation.

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