Remark on optimal investment in a market with memory


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Please use this identifier to cite or link to this item:https://doi.org/10.14943/83978

Title:	Remark on optimal investment in a market with memory
Authors:	Inoue, Akihiko Browse this author
Authors:	Nakano, Yumiharu Browse this author
Keywords:	Optimal investment
	long term investment
	processes with memory
	processes with stationary increments
	Riccati equations
Issue Date:	2007
Publisher:	Department of Mathematics, Hokkaido University
Journal Title:	Hokkaido University Preprint Series in Mathematics
Volume:	828
Start Page:	1
End Page:	10
Abstract:	We 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.
Type:	bulletin (article)
URI:	http://hdl.handle.net/2115/69637
Appears in Collections:	理学院・理学研究院 (Graduate School of Science / Faculty of Science) > Hokkaido University Preprint Series in Mathematics

Submitter: 数学紀要登録作業用

OAI-PMH ( junii2 , jpcoar_1.0 )

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