The ergodicity problem in economics.¶
Peters, O. (2019). The ergodicity problem in economics. Nature Physics, 1216-1221.
Cited by¶
1 citation across 1 artifact.
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Primes¶
- Law of Large Numbers
- For a multiplicative growth process the expectation across a hypothetical ensemble can grow without bound while almost every individual trajectory tends to zero, so the average over parallel worlds and the average over one world's history disagree permanently.
This sourceDemonstrates that for a multiplicative growth process the ensemble average over parallel realizations and the time average along a single trajectory diverge permanently.
- For a multiplicative growth process the expectation across a hypothetical ensemble can grow without bound while almost every individual trajectory tends to zero, so the average over parallel worlds and the average over one world's history disagree permanently.
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