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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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