Abstract We consider the problem of maximizing the utility of consumption and terminal wealth in a geometric Ornstein–Uhlenbeck market. We calculate the optimal consumption and wealth processes for power, logarithmic and exponential utility as well as their behavior depending e.g. on...

We consider a nonparametric regression model where the response Y and the covariate X are both functional (i.e. valued in some infinite-dimensional space). We define a kernel type estimator of the regression operator and we first establish its pointwise asymptotic normality. The double...

The problem of prediction in time series using nonparametric functional techniques is considered. An extension of the local linear method to regression with functional explanatory variable is proposed. This forecasting method is compared with the functional Nadaraya–Watson method and with...