Stochastic Processes with Short Memory

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dc.creatorZhabin, D. N.
dc.date2004-01-14
dc.date.accessioned2026-07-07T12:11:08Z
dc.date.available2026-07-07T12:11:08Z
dc.descriptionThe 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.
dc.description10 pages
dc.identifierhttps://arxiv.org/abs/math/0401144
dc.identifierhttp://arxiv.org/abs/math/0401144
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/210135
dc.subjectProbability
dc.subjectOptimization and Control
dc.subjectComputational Finance
dc.subject60-00;60G35
dc.titleStochastic Processes with Short Memory
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