The Kurzweil integral in financial market modeling

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985840%3A_____%2F16%3A00459263" target="_blank" >RIV/67985840:_____/16:00459263 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.21136/MB.2016.18" target="_blank" >http://dx.doi.org/10.21136/MB.2016.18</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.21136/MB.2016.18" target="_blank" >10.21136/MB.2016.18</a>

Result language
angličtina
Original language name
The Kurzweil integral in financial market modeling
Original language description
Certain financial market strategies are known to exhibit a hysteretic structure similar to the memory observed in plasticity, ferromagnetism, or magnetostriction. The main difference is that in financial markets, the spontaneous occurrence of discontinuities in the time evolution has to be taken into account. We show that one particular market model considered here admits a representation in terms of Prandtl-Ishlinskii hysteresis operators, which are extended in order to include possible discontinuities both in time and in memory. The main analytical tool is the Kurzweil integral formalism, and the main result proves the well-posedness of the process in the space of right-continuous regulated functions.
Czech name
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Czech description
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Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
10101 - Pure mathematics

Project
<a href="/en/project/GA15-12227S" target="_blank" >GA15-12227S: Analysis of mathematical models of multifunctional materials with hysteresis</a><br>
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2016
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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