Ergodicity breaking in geometric Brownian motion.
نویسندگان
چکیده
Geometric Brownian motion (GBM) is a model for systems as varied as financial instruments and populations. The statistical properties of GBM are complicated by nonergodicity, which can lead to ensemble averages exhibiting exponential growth while any individual trajectory collapses according to its time average. A common tactic for bringing time averages closer to ensemble averages is diversification. In this Letter, we study the effects of diversification using the concept of ergodicity breaking.
منابع مشابه
Non-Markovian Brownian dynamics and nonergodicity.
We report the breaking of ergodicity for a class of generalized, Brownian motion obeying a non-Markovian dynamics being driven by a generalized Langevin equation (GLE). This very feature originates from a vanishing of the effective friction. A novel quantity b (being uniquely determined from the corresponding memory friction kernel gamma(t)of the GLE) is introduced as a parameter that is capabl...
متن کاملExact solutions for Fokker-Plank equation of geometric Brownian motion with Lie point symmetries
In this paper Lie symmetry analysis is applied to find new solution for Fokker Plank equation of geometric Brownian motion. This analysis classifies the solution format of the Fokker Plank equation.
متن کاملMirror and Synchronous Couplings of Geometric Brownian Motions
The paper studies the question of whether the classical mirror and synchronous couplings of two Brownian motions minimise and maximise, respectively, the coupling time of the corresponding geometric Brownian motions. We establish a characterisation of the optimality of the two couplings over any finite time horizon and show that, unlike in the case of Brownian motion, the optimality fails in ge...
متن کاملA Geometric Drift Inequality for a Reflected Fractional Brownian Motion Process on the Positive Orthant
We study a d-dimensional reflected fractional Brownian motion (RFBM) process on the positive orthant S = R+, with drift r0 ∈ R and Hurst parameter H ∈ ( 1 2 , 1). Under a natural stability condition on the drift vector r0 and reflection directions, we establish a geometric drift towards a compact set for the 1-skeleton chain Z̆ of the RFBM process Z; that is, there exist β, b ∈ (0,∞) and a compa...
متن کاملIn vivo anomalous diffusion and weak ergodicity breaking of lipid granules.
Combining extensive single particle tracking microscopy data of endogenous lipid granules in living fission yeast cells with analytical results we show evidence for anomalous diffusion and weak ergodicity breaking. Namely we demonstrate that at short times the granules perform subdiffusion according to the laws of continuous time random walk theory. The associated violation of ergodicity leads ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید
ثبت ناماگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید
ورودعنوان ژورنال:
- Physical review letters
دوره 110 10 شماره
صفحات -
تاریخ انتشار 2013