Akihiko Inoue, Yumiharu Nakano, “Remark on optimal investment in a market with memory”, Theory Stoch. Process., 2007, Volume 13(29), Issue 1,Pages <nobr>66

Remark on optimal investment in a market with memory

Akihiko Inoue^a, Yumiharu Nakano^b

^a Department of Mathematics, Faculty of Science, Hokkaido University, Sapporo 060-0810, Japan
^b Center for the Study of Finance and Insurance, Osaka University, Toyonaka 560-8531, Japan

Abstract: We consider a financial market model driven by a Gaussian semi-martingale 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.

Keywords: Optimal investment, long term investment, processes with memory, processes with stationary increments, Riccati equations.

MSC: Primary 91B28, 60G10; Secondary 62P05, 93E20.

Language: English