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Stochastic Processes with Short Memory

D. N. Zhabin
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Abstract

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.

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BibTeXRIS

D. N. Zhabin. 2004-01-14. Stochastic Processes with Short Memory. https://arxiv.org/abs/math/0401144

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