{
  "id": "math/0401144",
  "version": "v1",
  "published": "2004-01-14T12:20:19.000Z",
  "updated": "2004-01-14T12:20:19.000Z",
  "title": "Stochastic Processes with Short Memory",
  "authors": [
    "D. N. Zhabin"
  ],
  "comment": "10 pages",
  "categories": [
    "math.PR",
    "math.OC",
    "q-fin.CP"
  ],
  "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.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2004-01-14T12:20:19.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60-00",
      "60G35"
    ],
    "keywords": [
      "stochastic processes",
      "capital market processes",
      "independent stochastic impulses",
      "short memory approximation",
      "linear system"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 10,
      "language": "en",
      "license": "arXiv",
      "status": "editable"
    }
  }
}