Remark on optimal investment in a market with memory
We consider a financial market model driven by a Gaussian semimartingale with stationary increments. This driving noise process
 consists of n independent components and each component has memory described by two parameters. We extend results of the authors
 on optimal investment in...
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| Date: | 2007 |
|---|---|
| Main Authors: | , |
| Format: | Article |
| Language: | English |
| Published: |
Інститут математики НАН України
2007
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| Online Access: | https://nasplib.isofts.kiev.ua/handle/123456789/4472 |
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| Journal Title: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| Cite this: | Remark on optimal investment in a market with memory / A. Inoue, Y. Nakano // Theory of Stochastic Processes. — 2007. — Т. 13 (29), № 1-2. — С. 66-76. — Бібліогр.: 18 назв.— англ. |
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Digital Library of Periodicals of National Academy of Sciences of Ukraine| _version_ | 1862544045594640384 |
|---|---|
| author | Inoue, A. Nakano, Y. |
| author_facet | Inoue, A. Nakano, Y. |
| citation_txt | Remark on optimal investment in a market with memory / A. Inoue, Y. Nakano // Theory of Stochastic Processes. — 2007. — Т. 13 (29), № 1-2. — С. 66-76. — Бібліогр.: 18 назв.— англ. |
| collection | DSpace DC |
| description | We consider a financial market model driven by a Gaussian semimartingale with stationary increments. This driving noise process
consists of n independent components and each component has memory described by two parameters. We extend results of the authors
on optimal investment in this market.
|
| first_indexed | 2025-11-25T00:42:54Z |
| format | Article |
| fulltext | |
| id | nasplib_isofts_kiev_ua-123456789-4472 |
| institution | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| issn | 0321-3900 |
| language | English |
| last_indexed | 2025-11-25T00:42:54Z |
| publishDate | 2007 |
| publisher | Інститут математики НАН України |
| record_format | dspace |
| spelling | Inoue, A. Nakano, Y. 2009-11-19T10:03:06Z 2009-11-19T10:03:06Z 2007 Remark on optimal investment in a market with memory / A. Inoue, Y. Nakano // Theory of Stochastic Processes. — 2007. — Т. 13 (29), № 1-2. — С. 66-76. — Бібліогр.: 18 назв.— англ. 0321-3900 https://nasplib.isofts.kiev.ua/handle/123456789/4472 We consider a financial market model driven by a Gaussian semimartingale with stationary increments. This driving noise process
 consists of n independent components and each component has memory described by two parameters. We extend results of the authors
 on optimal investment in this market. en Інститут математики НАН України Remark on optimal investment in a market with memory Article published earlier |
| spellingShingle | Remark on optimal investment in a market with memory Inoue, A. Nakano, Y. |
| title | Remark on optimal investment in a market with memory |
| title_full | Remark on optimal investment in a market with memory |
| title_fullStr | Remark on optimal investment in a market with memory |
| title_full_unstemmed | Remark on optimal investment in a market with memory |
| title_short | Remark on optimal investment in a market with memory |
| title_sort | remark on optimal investment in a market with memory |
| url | https://nasplib.isofts.kiev.ua/handle/123456789/4472 |
| work_keys_str_mv | AT inouea remarkonoptimalinvestmentinamarketwithmemory AT nakanoy remarkonoptimalinvestmentinamarketwithmemory |