Nonergodicity of reset geometric Brownian motion
- We derive. the ensemble-and time-averaged mean-squared displacements (MSD, TAMSD) for Poisson-reset geometric Brownian motion (GBM), in agreement with simulations. We find MSD and TAMSD saturation for frequent resetting, quantify the spread of TAMSDs via the ergodicity-breaking parameter and compute distributions of prices. General MSD-TAMSD nonequivalence proves reset GBM nonergodic.
| Author details: | Deepak VinodORCiD, Andrey G. CherstvyORCiD, Wei WangORCiD, Ralf MetzlerORCiDGND, Igor M. SokolovORCiDGND |
|---|---|
| DOI: | https://doi.org/10.1103/PhysRevE.105.L012106 |
| ISSN: | 2470-0045 |
| ISSN: | 2470-0053 |
| Pubmed ID: | https://pubmed.ncbi.nlm.nih.gov/35193263 |
| Title of parent work (English): | Physical review : E, Statistical, nonlinear and soft matter physics |
| Publisher: | American Physical Society |
| Place of publishing: | College Park |
| Publication type: | Article |
| Language: | English |
| Date of first publication: | 2022/01/13 |
| Publication year: | 2022 |
| Release date: | 2024/02/21 |
| Volume: | 105 |
| Issue: | 1 |
| Article number: | L012106 |
| Number of pages: | 4 |
| Funding institution: | FNP; DFG [ME 1535/12-1] |
| Organizational units: | Mathematisch-Naturwissenschaftliche Fakultät / Institut für Physik und Astronomie |
| DDC classification: | 5 Naturwissenschaften und Mathematik / 53 Physik / 530 Physik |
| Peer review: | Referiert |
| License (German): |  Keine öffentliche Lizenz: Unter Urheberrechtsschutz |
