Remark on optimal investment in a market with memory
Vernadsky National Library of Ukraine
Переглянути архів Інформація| Поле | Співвідношення | |
| Title |
Remark on optimal investment in a market with memory
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| Creator |
Inoue, A.
Nakano, Y. |
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| 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. |
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| Date |
2009-11-19T10:03:06Z
2009-11-19T10:03:06Z 2007 |
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| Type |
Article
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| Identifier |
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 http://dspace.nbuv.gov.ua/handle/123456789/4472 |
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| Language |
en
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| Publisher |
Інститут математики НАН України
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