Geodesic
Remark on optimal investment in a
Teoriâ slučajnyh processov, Tome 13 (2007) no. 1, pp. 66-76.

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We consider a financial market model driven by a Gaussian semi-martingale 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.
Keywords: Optimal investment, long term investment, processes with memory, processes with stationary increments
Mots-clés : Riccati equations. 
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Akihiko Inoue; Yumiharu Nakano. Remark on optimal investment in a. Teoriâ slučajnyh processov, Tome 13 (2007) no. 1, pp. 66-76. http://geodesic.mathdoc.fr/item/THSP_2007_13_1_a6/

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