TY  - JOUR
A1  - Vinod, Deepak
A1  - Cherstvy, Andrey G.
A1  - Metzler, Ralf
A1  - Sokolov, Igor M.
T1  - Time-averaging and nonergodicity of reset geometric Brownian motion with drift
T2  - Physical review : E, Statistical, nonlinear and soft matter physics
N2  - How do near-bankruptcy events in the past affect the dynamics of stock-market prices in the future? Specifically, what are the long-time properties of a time-local exponential growth of stock-market prices under the influence of stochastically occurring economic crashes? Here, we derive the ensemble- and time-averaged properties of the respective "economic" or geometric Brownian motion (GBM) with a nonzero drift exposed to a Poissonian constant-rate price-restarting process of "resetting." We examine-based both on thorough analytical calculations and on findings from systematic stochastic computer simulations-the general situation of reset GBM with a nonzero [positive] drift and for all special cases emerging for varying parameters of drift, volatility, and reset rate in the model. We derive and summarize all short- and long-time dependencies for the mean-squared displacement (MSD), the variance, and the mean time-averaged MSD (TAMSD) of the process of Poisson-reset GBM under the conditions of both rare and frequent resetting. We consider three main regions of model parameters and categorize the crossovers between different functional behaviors of the statistical quantifiers of this process. The analytical relations are fully supported by the results of computer simulations. In particular, we obtain that Poisson-reset GBM is a nonergodic stochastic process, with generally MSD(Delta) not equal TAMSD(Delta) and Variance(Delta) not equal TAMSD(Delta) at short lag times Delta and for long trajectory lengths T. We investigate the behavior of the ergodicity-breaking parameter in each of the three regions of parameters and examine its dependence on the rate of reset at Delta/T << 1. Applications of these theoretical results to the analysis of prices of reset-containing options are pertinent.
Y1  - 2022
UR  - https://publishup.uni-potsdam.de/frontdoor/index/index/docId/60901
SN  - 2470-0045
SN  - 2470-0053
VL  - 106
IS  - 3
PB  - American Physical Society
CY  - College Park
ER  -