Geodesic
Geometric Gaussian martingales with disorder
Teoriâ slučajnyh processov, Tome 16 (2010) no. 1, pp. 44-48

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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.
Keywords: Geometric Gaussian martingale, disorder moment, optimal forecasting. 
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     author = {Omar Glonti and Zaza Khechinashvili},
     title = {Geometric {Gaussian} martingales with disorder},
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     year = {2010},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/THSP_2010_16_1_a5/}
}
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Omar Glonti; Zaza Khechinashvili. Geometric Gaussian martingales with disorder. Teoriâ slučajnyh processov, Tome 16 (2010) no. 1, pp. 44-48. http://geodesic.mathdoc.fr/item/THSP_2010_16_1_a5/