Financial Markets with Memory II: Innovation Processes and Expected Utility Maximization

DOI10.1081/SAP-200050099zbMath1108.91036OpenAlexW1964829992MaRDI QIDQ4678736

Akihiko Inoue, Yuji Kasahara, V. V. Anh

Publication date: 23 May 2005

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/sap-200050099

zbMATH Keywords

innovation processutility maximizationfinancial market model

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Prediction theory (aspects of stochastic processes) (60G25)

Related Items (10)

Prediction of Fractional Brownian Motion-Type Processes ⋮ Econometric estimation in long-range dependent volatility models: theory and practice ⋮ A Vasicek-Type Short Rate Model With Memory Effect ⋮ Binary market models with memory ⋮ Bubbles and crashes in a Black-Scholes model with delay ⋮ Representation theorems in finite prediction, with applications ⋮ Long run behaviour of the autocovariance function of ARCH(\(\infty\)) models ⋮ Long memory in a linear stochastic Volterra differential equation ⋮ Linear filtering of systems with memory and application to finance ⋮ Risky Asset Models with Tempered Stable Fractal Activity Time

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• Weighted trigonometrical approximation on \(R^ 1\) with application to the germ field of a stationary Gaussian noise
• On the prediction of fractional Brownian motion

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