  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.
