2024-03-28T22:49:34Zhttps://eprints.lib.hokudai.ac.jp/dspace-oai/requestoai:eprints.lib.hokudai.ac.jp:2115/696372022-11-17T02:08:08Zhdl_2115_45007hdl_2115_116Remark on optimal investment in a market with memoryInoue, AkihikoNakano, Yumiharuopen accessOptimal investmentlong term investmentprocesses with memoryprocesses with stationary incrementsRiccati equations410We consider a financial market model driven by a Gaussian semimartingale with stationary increments. This driving noise process consists of independent components and each component has memory described by two parameters. We extend results of the authors on optimal investment in this market.Department of Mathematics, Hokkaido University2007engdepartmental bulletin paperVoRhttps://doi.org/10.14943/83978http://hdl.handle.net/2115/6963710.14943/83978Hokkaido University Preprint Series in Mathematics828110https://eprints.lib.hokudai.ac.jp/dspace/bitstream/2115/69637/1/pre828.pdfapplication/pdf217.27 KB2007