Related papers: Ergodicity breaking in geometric Brownian motion
Statistical analysis of financial data most focused on testing the validity of Brownian motion (Bm). Analysis performed on several time series have shown deviation from the Bm hypothesis, that is at the base of the evaluation of many…
Random walk models, such as the trap model, continuous time random walks, and comb models exhibit weak ergodicity breaking, when the average waiting time is infinite. The open question is: what statistical mechanical theory replaces the…
We introduce a class of discrete random walk model driven by global memory effects. At any time the right-left transitions depend on the whole previous history of the walker, being defined by an urn-like memory mechanism. The characteristic…
Stochastic processes of interacting particles with varying length are relevant e.g. for several biological applications. We try to explore what kind of new physical effects one can expect in such systems. As an example, we extend the…
Spatiotemporal disorder has been recently associated to the occurrence of anomalous nonergodic diffusion of molecular components in biological systems, but the underlying microscopic mechanism is still unclear. We introduce a model in which…
We introduce fractional Brownian motion processes (fBm) as an alternative model for the turbulent index of refraction. These processes allow to reconstruct most of the refractive index properties, but they are not differentiable. We…
We consider a limit order book, where buyers and sellers register to trade a security at specific prices. The largest price buyers on the book are willing to offer is called the market bid price, and the smallest price sellers on the book…
We investigate the influence of external forces on the collective dynamics of interacting active Brownian particles in two as well as three spatial dimensions. Via explicit coarse graining, we derive predictive models that are applicable…
The dynamics of the Hamiltonian mean field model is studied in the context of continuous time random walks. We show that the sojourn times in cells in the momentum space are well described by a L\'evy truncated distribution. Consequently…
The generalized grey Brownian motion is a time continuous self-similar with stationary increments stochastic process whose one dimensional distributions are the fundamental solutions of a stretched time fractional differential equation.…
Brownian yet non-Gaussian diffusion has recently been observed in numerous biological and active matter system. The cause of the non-Gaussian distribution have been elaborately studied in the idea of a superstatistical dynamics or a…
In ergodic physical systems, time-averaged quantities converge (for large times) to their ensemble-averaged values. Large deviation theory describes rare events where these time averages differ significantly from the corresponding ensemble…
Using a model Hamiltonian for a single-mode electromagnetic field interacting with a nonlinear medium, we show that quantum expectation values of subsystem observables can exhibit remarkably diverse ergodic properties even when the dynamics…
The discrete sum of geometric Brownian motions plays an important role in modeling stochastic annuities in insurance. It also plays a pivotal role in the pricing of Asian options in mathematical finance. In this paper, we study the…
We find a general formula for the distribution of time-averaged observables for systems modeled according to the sub-diffusive continuous time random walk. For Gaussian random walks coupled to a thermal bath we recover ergodicity and…
We study the probability distribution of the value of geometric Brownian motion at the stochastic observation time. It is known that the exponentially distributed observation time yields the distribution called the double Pareto…
We investigate the limiting distribution of geometric Brownian motion conditional on its running maximum taking large values. We show that the conditional distribution of the geometric Brownian motion converges after a suitable…
We provide a surprising new application of classical approximation theory to a fundamental asset-pricing model of mathematical finance. Specifically, we calculate an analytic value for the correlation coefficient between exponential…
In this paper we introduce a definition of a multi-dimensional fractional Brownian motion of Hurst index $H \in (0, 1)$ under volatility uncertainty (in short G-fBm). We study the properties of such a process and provide first results about…
The concept of ergodicity---the convergence of the temporal averages of observables to their ensemble averages---is the cornerstone of thermodynamics. The transition from a predictable, integrable behavior to ergodicity is one of the most…