Akihiko Inoue, Yumiharu Nakano, “Remark on optimal investment in a market with memory”, Theory Stoch. Process., 13(29):1 (2007), 66

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Theory of Stochastic Processes, 2007, Volume 13(29), Issue 1, Pages 66–76 (Mi thsp185)

Remark on optimal investment in a market with memory

Akihiko Inoue^a, Yumiharu Nakano^b

^a Department of Mathematics, Faculty of Science, Hokkaido University, Sapporo 060-0810, Japan
^b Center for the Study of Finance and Insurance, Osaka University, Toyonaka 560-8531, Japan

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Abstract: We consider a financial market model driven by a Gaussian semi-martingale 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.

Keywords: Optimal investment, long term investment, processes with memory, processes with stationary increments, Riccati equations.

Bibliographic databases:

Document Type: Article

MSC: Primary 91B28, 60G10; Secondary 62P05, 93E20.

Language: English

Citation: Akihiko Inoue, Yumiharu Nakano, “Remark on optimal investment in a market with memory”, Theory Stoch. Process., 13(29):1 (2007), 66–76

Citation in format AMSBIB

\Bibitem{InoNak07}

\by Akihiko~Inoue, Yumiharu~Nakano

\paper Remark on optimal investment in a

market with memory

\jour Theory Stoch. Process.

\yr 2007

\vol 13(29)

\issue 1

\pages 66--76

\mathnet{http://mi.mathnet.ru/thsp185}

\mathscinet{https://mathscinet.ams.org/mathscinet-getitem?mr=2343811}

\zmath{https://zbmath.org/?q=an:1144.91018}

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https://www.mathnet.ru/eng/thsp/v13/i1/p66

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