GEOMETRIC GAUSSIAN MARTINGALES WITH DISORDER

**OMAR GLONTI AND ZAZA KHECHINASHVILI*


Theory of Stochastic Processes

Vol.16 (32), no.1, 2010, pp.44-48

We propose the scheme of a geometric Gaussian martingale with “disorder” as a model of a stock price evolution and investigate the problem of finding a forecasting estimation optimal in mean square sense within this scheme.