Remark on optimal investment in a market with memory

• Дата: 2007
• Автори: Inoue, A., Nakano, Y.
• Формат: Стаття
• Мова: Англійська
• Опубліковано: Інститут математики НАН України 2007
• Онлайн доступ: https://nasplib.isofts.kiev.ua/handle/123456789/4472
• Назва журналу: Digital Library of Periodicals of National Academy of Sciences of Ukraine
• Цитувати: 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.

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.