Financial markets with memory II: Innovation processes and expected utility maximization

Anh, Vo V., Inoue, Akihiko, & Kasahara, Y. (2005) Financial markets with memory II: Innovation processes and expected utility maximization. Stochastic Analysis and Applications, 23(2), pp. 301-328.

Abstract

We develop a prediction theory for a class of processes with stationary increments. In particular, we prove a prediction formula for these processes from a finite segment of the past. Using the formula, we prove an explicit representation of the innovation processes associated with the stationary increments processes. We apply the representation to obtain a closed-form solution to the problem of expected logarithmic utility maximization for the financial markets with memory introduced by the first and second authors.

Impact and interest:

14 citations in Scopus
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14 citations in Web of Science®

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Full-text downloads:

87 since deposited on 01 Jun 2006
1 in the past twelve months

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ID Code: 4404
Item Type: Journal Article
Refereed: Yes
Additional URLs:
ISSN: 1532-9356
Divisions: Past > QUT Faculties & Divisions > Faculty of Science and Technology
Copyright Owner: Copyright 2005 Taylor & Francis
Copyright Statement: First published in Stochastic Analysis & Applications 23(2):pp. 301-328.
Deposited On: 01 Jun 2006 00:00
Last Modified: 29 Feb 2012 13:17

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