Financial Markets with Memory II: Innovation Processes and Expected Utility Maximization


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Please use this identifier to cite or link to this item:http://hdl.handle.net/2115/18905

Title:	Financial Markets with Memory II: Innovation Processes and Expected Utility Maximization
Authors:	Anh, V. Browse this author
	Inoue, A. Browse this author
	Kasahara, Y. Browse this author
Keywords:	Innovation process
	Utility maximization
	Financial market model
Issue Date:	2005
Publisher:	Taylor & Francis
Journal Title:	Stochastic Analysis and Applications
Volume:	23
Issue:	2
Start Page:	301
End Page:	328
Abstract:	We develop a prediction theory for a class of processes with stationary increments. In particular, we prove a prediction formula for these processes from a finite segment of the past. Using the formula, we prove an explicit representation of the innovation processes associated with the stationary increments processes. We apply the representation to obtain a closed-form solution to the problem of expected logarithmic utility maximization for the financial markets with memory introduced by the first and second authors.
Relation:	http://www.taylorandfrancisgroup.com/
Type:	article (author version)
URI:	http://hdl.handle.net/2115/18905
Appears in Collections:	理学院・理学研究院 (Graduate School of Science / Faculty of Science) > 雑誌発表論文等 (Peer-reviewed Journal Articles, etc)

Submitter: 井上昭彦

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