Friday, September 21, 2012

1209.4517 (Ole Peters et al.)

Partial ensemble averages in geometric Brownian motion    [PDF]

Ole Peters, William Klein
Geometric Brownian motion is non-stationary. It is non-ergodic in the sense that the time-average growth rate observed in a single realization differs from the growth rate of the ensemble average. We prove that the time-average growth rate of averages over a finite number, N, of realizations is independent of N. A stability analysis shows that the time at which such averages begin to deviate from ensemble-average behavior increases logarithmically with N.
View original:

No comments:

Post a Comment