REMARK ON OPTIMAL INVESTMENT IN A MARKET WITH MEMORY

AKIHIKO INOUE AND YUMIHARU NAKANO

Theory of Stochastic Processes Vol.13 (29), no.1-2, 2007, pp.66-76

We consider a financial market model driven by a Gaussian semimartingale 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.

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