Remark on optimal investment in a market with memory

Akihiko Inoue^a, Yumiharu Nakano<sup>b

a</sup> 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

Аннотация: 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.

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

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

Язык публикации: английский

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