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Related papers: Ergodicity breaking in geometric Brownian motion

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A growing body of empirical evidence suggests that the dynamics of wealth within a population tends to be non-ergodic, even after rescaling the individual wealth with the population average. Despite these discoveries, the way in which…

Statistical Mechanics · Physics 2022-02-16 Viktor Stojkoski , Marko Karbevski

We study a generalized geometric Brownian motion framework that incorporates both entries of new units and exit mechanisms for the current population, extending earlier stochastic resetting models where these rates are treated as identical.…

General Economics · Economics 2026-05-20 Suvam Pal , Viktor Stojkoski , Arnab Pal , Trifce Sandev

We study the effects of stochastic resetting on geometric Brownian motion (GBM), a canonical stochastic multiplicative process for non-stationary and non-ergodic dynamics. Resetting is a sudden interruption of a process, which consecutively…

Risk Management · Quantitative Finance 2021-08-24 Viktor Stojkoski , Trifce Sandev , Ljupco Kocarev , Arnab Pal

Geometric Brownian motion (GBM) is a key model for representing self-reproducing entities. Self-reproduction may be considered the definition of life [5], and the dynamics it induces are of interest to those concerned with living systems…

Statistical Mechanics · Physics 2018-02-09 Ole Peters , Alexander Adamou

The ergodicity breaking parameter is a measure for the heterogeneity among different trajectories of one ensemble. In this report this parameter is calculated for fractional Brownian motion with a random change of time scale, often called…

Data Analysis, Statistics and Probability · Physics 2015-06-17 Felix Thiel , Igor M. Sokolov

We develop a systematic framework for the model reduction of multivariate geometric Brownian motions (GBMs), a fundamental class of stochastic processes with broad applications in mathematical finance, population biology, and statistical…

Mathematical Physics · Physics 2026-02-11 C. Chen , M. Colangeli , M. H. Duong , M. Serva

Classical option pricing schemes assume that the value of a financial asset follows a geometric Brownian motion (GBM). However, a growing body of studies suggest that a simple GBM trajectory is not an adequate representation for asset…

Pricing of Securities · Quantitative Finance 2021-02-03 Viktor Stojkoski , Trifce Sandev , Lasko Basnarkov , Ljupco Kocarev , Ralf Metzler

We study ergodic properties of one-dimensional Brownian motion with resetting. Using generic classes of statistics of times between resets, we find respectively for thin/fat tailed distributions, the normalized/non-normalised invariant…

Statistical Mechanics · Physics 2023-06-26 Eli Barkai , Rosa Flaquer-Galmes , Vicenç Méndez

Volatility of intra-day stock market indices computed at various time horizons exhibits a scaling behaviour that differs from what would be expected from fractional Brownian motion (fBm). We investigate this anomalous scaling by using…

Computational Finance · Quantitative Finance 2016-02-17 Noemi Nava , T. Di Matteo , Tomaso Aste

Quantum many-body systems can exhibit distinct regimes where dynamics is either ergodic, dynamically exploring an extensive region of available state-space, or non-ergodic, where the dynamics may be restricted. An example is the many-body…

Quantum Physics · Physics 2026-03-12 Venelin P. Pavlov , Peter A. Ivanov , Diego Porras , Charlie Nation

A regime-switching geometric Brownian motion is used to model a geometric Brownian motion with its coefficients changing randomly according to a Markov chain. In this work, we give a complete characterization of the recurrent property of…

Probability · Mathematics 2016-06-15 Jinghai Shao

Modeling financial data often relies on assumptions that may prove insufficient or unrealistic in practice. The Geometric Brownian Motion (GBM) model is frequently employed to represent stock price processes. This study investigates whether…

Optimization and Control · Mathematics 2024-03-21 Dennis Lartey Quayesam , Anani Lotsi , Felix Okoe Mettle

It is shown that in systems with time-dependent and/or spatially nonuniform temperature $T(t,x)$, (i) most of the transport processes is weakly non-ergodic, and (ii) the diffusion (Brownian motion, BM) is anomalous. A few examples of simple…

Statistical Mechanics · Physics 2012-06-21 Andrzej Fuliński

We investigate stochastic processes that generalize geometric Brownian motion, focusing on cases where the standard invariant measure, i.e. the solution of the stationary Fokker-Planck equation does not necessarily exist. We demonstrate…

Statistical Mechanics · Physics 2026-02-18 S. Giordano , R. Blossey

Ergodicity describes an equivalence between the expectation value and the time average of observables. Applied to human behaviour, ergodic theories of decision-making reveal how individuals should tolerate risk in different environments. To…

To convert standard Brownian motion $Z$ into a positive process, Geometric Brownian motion (GBM) $e^{\beta Z_t}, \beta >0$ is widely used. We generalize this positive process by introducing an asymmetry parameter $ \alpha \geq 0$ which…

Mathematical Finance · Quantitative Finance 2018-09-10 Peter Carr , Zhibai Zhang

We study the breaking of ergodicity measured in terms of return probability in the evolution of a quantum state of a spin chain. In the non ergodic phase a quantum state evolves in a much smaller fraction of the Hilbert space than would be…

Strongly Correlated Electrons · Physics 2013-02-28 Andrea De Luca , Antonello Scardicchio

Geometrical optics provides an instructive insight into Brownian motion, ``pushed" into a large-deviations regime by imposed constraints. Here we extend geometrical optics of Brownian motion by accounting for diffusion inhomogeneity in…

Statistical Mechanics · Physics 2023-09-26 Tal Bar , Baruch Meerson

We examine the non-ergodic properties of scaled Brownian motion, a non-stationary stochastic process with a time dependent diffusivity of the form $D(t)\simeq t^{\alpha-1}$. We compute the ergodicity breaking parameter EB in the entire…

Statistical Mechanics · Physics 2015-09-02 Hadiseh Safdari , Andrey G. Cherstvy , Aleksei V. Chechkin , Felix Thiel , Igor M. Sokolov , Ralf Metzler

We study the nature and mechanisms of broken ergodicity (BE) in specific random walk models corresponding to diffusion on random potential surfaces, in both one and high dimension. Using both rigorous results and nonrigorous methods, we…

adap-org · Physics 2008-02-03 D. L. Stein , C. M. Newman
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