Replication of Wiener-transformable stochastic processes with application to financial markets with memory

DOI10.1007/978-3-030-02825-1_14zbMath1423.60107arXiv1808.09821OpenAlexW2889274745MaRDI QIDQ2329120

Elena Boguslavskaya, Georgiy M. Shevchenko, Yuliya S. Mishura

Publication date: 17 October 2019

Full work available at URL: https://arxiv.org/abs/1808.09821

zbMATH Keywords

fractional Brownian motionlong memoryutility maximizationmartingale representationpathwise integralWiener-transformable process

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Microeconomic theory (price theory and economic markets) (91B24) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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