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JOURNALS // Theory of Stochastic Processes // Archive
Theory Stoch. Process., 2010 Volume 16(32), Issue 1, Pages 44–48 (Mi thsp59)
Geometric Gaussian martingales with disorder

Omar Glonti, Zaza Khechinashvili

I. Javakhishvili Tbilisi State University, University str., 2

Abstract: We propose the scheme of a geometric Gaussian martingale with "disorder" as a model of a stock price evolution and investigate the problem of finding a forecasting estimation optimal in mean square sense within this scheme.

Keywords: Geometric Gaussian martingale, disorder moment, optimal forecasting.

MSC: 60G35, 60G42

Language: English



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