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

DOI10.1081/SAP-200050099zbMath1108.91036MaRDI QIDQ4678736

V. V. Anh, Yuji Kasahara, Akihiko Inoue

Publication date: 23 May 2005

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

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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