Navarro, Emeterio; Cantero, Ruben; Rodrigues, Joao; … - arXiv.org - 2007
We present analytical investigations of a multiplicative stochastic process that models a simple investor dynamics in a random environment. The dynamics of the investor's budget, $x(t)$, depends on the stochasticity of the return on investment, $r(t)$, for which different model assumptions are...