Simple question of a curious person:

One can say that prices tend to rise "slowly" and drop "all of a sudden". Still, they are a geometric composition upon random returns.

As I understand, this is not a feature of a geometric brownian motion.

If so, what would be a standard price process consistent with this behavior?


  • 4
    $\begingroup$ Sounds like you want a jump-diffusion process. Lots of material available online $\endgroup$ Oct 19, 2018 at 18:17

1 Answer 1


The natural extension of Brownian motion that includes jump are called Levy processes


probably you want to look into those.


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