Various mathematical Black-Scholes-Merton-like models of option pricing employ the paradigmatic stochastic process of geometric Brownian motion (GBM). The innate property of such models and of real stock-market prices is the roughly exponential growth of prices with time [on average, in crisis-free times]. We here explore the ensemble- and time averages of a multiplicative-noise stochastic process with power-law-like time-dependent volatility, σ(t)∼tα, named scaled GBM (SGBM). For SGBM, the mean-squared displacement (MSD) computed for an ensemble of statistically equivalent trajectories can grow faster than exponentially in time, while the time-averaged MSD (TAMSD) - based on a sliding-window averaging along a single trajectory - is always linear at short lag times Δ. The proportionality factor between these the two averages of the time series is Δ/T at short lag times, where T is the trajectory length, similarly to GBM. This discrepancy of the scaling relations and pronounced nonequivalence of the MSD and TAMSD at Δ/T≪1 is a manifestation of weak ergodicity breaking for standard GBM and for SGBM with σ(t)-modulation, the main focus of our analysis. The analytical predictions for the MSD and mean TAMSD for SGBM are in quantitative agreement with the results of stochastic computer simulations.
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