Ergodicity breaking in geometric Brownian motion
AbstractGeometric Brownian motion (GBM) is a model for systems as varied as financial instruments and populations. The statistical properties of GBM are complicated by non-ergodicity, 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.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1209.4517.
Date of creation: Sep 2012
Date of revision: Mar 2013
Publication status: Published in Phys. Rev. Lett. 110, 100603 (2013)
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- Ole Peters & Murray Gell-Mann, 2014. "Evaluating gambles using dynamics," Papers 1405.0585, arXiv.org.
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