Geometric Brownian motion under stochastic resetting: A stationary yet nonergodic process
Viktor Stojkoski, Trifce Sandev, Ljupčo Kocarev, A. Pal
Abstract
We study the effects of stochastic resetting on geometric Brownian motion with drift (GBM), a canonical stochastic multiplicative process for nonstationary and nonergodic dynamics. Resetting is a sudden interruption of a process, which consecutively renews its dynamics. We show that, although resetting renders GBM stationary, the resulting process remains nonergodic. Quite surprisingly, the effect of resetting is pivotal in manifesting the nonergodic behavior. In particular, we observe three different long-time regimes: a quenched state, an unstable state, and a stable annealed state depending on the resetting strength. Notably, in the last regime, the system is self-averaging and thus the sample average will always mimic ergodic behavior establishing a stand-alone feature for GBM under resetting. Crucially, the above-mentioned regimes are well separated by a self-averaging time period which can be minimized by an optimal resetting rate. Our results can be useful to interpret data emanating from stock market collapse or reconstitution of investment portfolios.