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

DOI10.1081/SAP-200050099zbMath1108.91036MaRDI 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 process; utility maximization; financial market model

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

60G25: Prediction theory (aspects of stochastic processes)

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