Navarro-Barrientos, Jesús Emeterio; Cantero-Álvarez, … - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 8, pp. 2035-2046
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...