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

Voir la notice de l'article provenant de la source Math-Net.Ru

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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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/

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[2] O. Glonti, L. Jamburia, Z. Khechinashvili, “Trinomial scheme with “disorder”. The minimal entropy martingale measure”, AMIM, 9:2 (2004), 14–29

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[6] O. Glonti, Z. Khechinashvili, “Martingale measure for the geometric Gaussian martingale with “disorder””, Proceedings of I. Vekua Institute of Applied Mathematics, 58 (2008), 102–109