Omar Glonti, Zaza Khechinashvili, “Geometric Gaussian martingales with disorder”, Theory Stoch. Process., 2010, том 16(32), выпуск 1,страницы 44

Geometric Gaussian martingales with disorder

Omar Glonti, Zaza Khechinashvili

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

Аннотация: 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.

Ключевые слова: Geometric Gaussian martingale, disorder moment, optimal forecasting.

MSC: 60G35, 60G42

Язык публикации: английский