Remark on optimal investment in a market with memory

dc.contributor.author	Inoue, A.
dc.contributor.author	Nakano, Y.
dc.date.accessioned	2009-11-19T10:03:06Z
dc.date.available	2009-11-19T10:03:06Z
dc.date.issued	2007
dc.identifier.citation	Remark on optimal investment in a market with memory / A. Inoue, Y. Nakano // Theory of Stochastic Processes. — 2007. — Т. 13 (29), № 1-2. — С. 66-76. — Бібліогр.: 18 назв.— англ.	en_US
dc.identifier.issn	0321-3900
dc.identifier.uri	http://dspace.nbuv.gov.ua/handle/123456789/4472
dc.description.abstract	We consider a financial market model driven by a Gaussian semimartingale 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.	en_US
dc.language.iso	en	en_US
dc.publisher	Інститут математики НАН України	en_US
dc.title	Remark on optimal investment in a market with memory	en_US
dc.type	Article	en_US
dc.status	published earlier	en_US