Exploring the connection between the Ergodicity-Economics coin toss and geometric Brownian motion (which is its continuum limit). The game is significant as a simple model of life-like things that self-reproduce.
The following references are flashed up in the video:
Sid Redner 1990, "Random Multiplicative Processes: An Elementary Tutorial"
www.researchgate.net/publicat...
John Kelly 1954, "A new interpretation of information rate"
archive.org/details/bstj35-4-917
Ole Peters 2011, "Optimal leverage from non-ergodicity"
doi.org/10.1080/14697688.2010...
Steven Strogatz 2019, "Infinite Powers"
www.amazon.com/Infinite-Power...
Негізгі бет Random multiplicative dynamics -- Ole Peters
Пікірлер: 42