Protected polymorphisms and evolutionary stability of patch-selection strategies in stochastic environments (Q2355794)

The authors analyze the evolutionary stability of a population composed of two competing individuals. The population abundance \(Z\), per individual, is modeled in terms of the stochastic logistic equation \[ dZ_t=Z_t(\mu-\kappa Z_t)dt+\sigma Z_t dW_t, \] which in turn is equal (in law) to the reciprocal of the \textit{averaged} geometric Brownian motion \[ A_t:=1/Z_t. \] The study of the latter is largely motivated by the pricing of the so-called Asian options (see, for instance, Chapter~6 in [\textit{R. Mansuy} and \textit{M. Yor}, Aspects of Brownian motion. Berlin: Springer (2008; Zbl 1162.60022)] for a large technical account of this process. See \textit{V. Linetsky} [Oper. Res. 52, No. 6, 856--867 (2004; Zbl 1165.91406)] for a spectral representation of the density of \(A\)) and the modeling of bonds [\textit{M. J. Brennan} and \textit{E. S. Schwartz}, ``A continuous time approach to the pricing of bonds'', J. Banking Finance 3, 133--155 (1979; \url{doi:10.1016/0378-4266(79)90011-6})]. Furthermore, motivated by the pricing of Asian derivatives, \textit{D. Dufresne} [Math. Finance 10, No. 4, 407--428 (2000; Zbl 1014.91040)] provided a description of the density of \(Z\) in terms of Laguerre polynomials. To this end, the author provides the moments of the process \(Z\). In financial jargon, the technical results within the document can be considered to be the comparison between two portfolios, where the elements of the portfolio (the assets) are all individually modeled as solutions to the stochastic logistic equation, instead of the standard geometric Brownian motion assumption.