A Nonuniformly Integrable Martingale Bubble with a Crash (Q4971975)

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scientific article; zbMATH DE number 7135132
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English
A Nonuniformly Integrable Martingale Bubble with a Crash
scientific article; zbMATH DE number 7135132

    Statements

    title
    A Nonuniformly Integrable Martingale Bubble with a Crash (English)
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    author
    Michael F. Schatz
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    Didier Sornette
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    publication date
    22 November 2019
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    zbMATH Keywords
    uniformly integrable martingales
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    local martingales
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    single jump diffusions
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    explosive diffusion processes
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    financial bubbles
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    cites work
    Q3207312
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    Q4086524
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    Q4086525
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    Q5506186
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    Q4039796
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    Q5294260
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    Identifiers

    DOI
    10.1137/18M1215190;
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    Mathematics Subject Classification ID
    91G45
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    60G44
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    60G55
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    60J76
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    zbMATH DE Number
    7135132
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