期刊
PHYSICAL REVIEW E
卷 105, 期 1, 页码 -出版社
AMER PHYSICAL SOC
DOI: 10.1103/PhysRevE.105.L012106
关键词
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资金
- FNP
- DFG [ME 1535/12-1]
In this study, we derived ensemble- and time-averaged mean-squared displacements (MSD, TAMSD) for Poisson-reset geometric Brownian motion (GBM), which is in agreement with simulations. We found that MSD and TAMSD reach saturation under frequent resetting, and quantified the spread of TAMSDs using the ergodicity-breaking parameter. We also computed price distributions and proved the general nonequivalence between MSD and TAMSD, indicating that reset GBM is nonergodic.
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.
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