Stochastic Processes with Short Memory
概率论
2008-12-10 v1 最优化与控制
计算金融
摘要
The mathematical model of a linear system with the short memory about own stochastic behavior is proposed. It is assumed that the system is under a continual influence of independent stochastic impulses. In a short memory approximation the expression of the stochastic process is found. An application of the model proposed to capital market processes is examined. The approach allows form a stochastic differential for processes concerned. The analog of the Black-Scholes equation for assets dealt on a market with the memory is expressed.
引用
@article{arxiv.math/0401144,
title = {Stochastic Processes with Short Memory},
author = {D. N. Zhabin},
journal= {arXiv preprint arXiv:math/0401144},
year = {2008}
}
备注
10 pages