Related papers: Ergodicity breaking in geometric Brownian motion
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…
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.…
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…
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…
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…
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…
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…
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…
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…
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…
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…
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…
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…
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…
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…
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…
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…
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…
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…