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Nonergodicity of reset geometric Brownian motion
Deepak Vinod1, Andrey G Cherstvy1,2, Wei Wang3
1Institute of Physics and Astronomy, University of Potsdam, 14476 Potsdam-Golm, Germany.
Abstract:
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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