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The Kurzweil integral in financial market modeling

SYSNO ASEP	0459263
Document Type	J - Journal Article
R&D Document Type	Journal Article
Subsidiary J	Článek ve WOS
Title	The Kurzweil integral in financial market modeling
Author(s)	Krejčí, Pavel (MU-W)_{RID, SAI, ORCID} Lamba, H. (US) Monteiro, Giselle Antunes (MU-W)_{RID, SAI, ORCID} Rachinskii, D. (US)
Source Title	Mathematica Bohemica. - : Matematický ústav AV ČR, v. v. i. - ISSN 0862-7959 Roč. 141, č. 2 (2016), s. 261-286
Number of pages	26 s.
Language	eng - English
Country	CZ - Czech Republic
Keywords	hysteresis ; Prandtl-Ishlinskii operator ; Kurzweil integral
Subject RIV	BA - General Mathematics
OECD category	Pure mathematics
R&D Projects	GA15-12227S GA ČR - Czech Science Foundation (CSF)
Institutional support	MU-W - RVO:67985840
UT WOS	000416921200009
EID SCOPUS	84983035983
DOI	10.21136/MB.2016.18
Annotation	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.
Workplace	Mathematical Institute
Contact	Jarmila Štruncová, struncova@math.cas.cz, library@math.cas.cz, Tel.: 222 090 757
Year of Publishing	2017

Number of the records: 1