Bubbles in assets with finite life

DOI10.1007/S11579-018-0233-4MaRDI QIDQ2312401zbMATH OpenOpenAlexWikidataFDO

Authors Henri Berestycki, Cameron Bruggeman, Régis Monneau, José A. Scheinkman

Publication date 8 July 2019

Published in Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11579-018-0233-4

zbMATH Keywords

dynamic programmingstochastic controlheterogeneous beliefsasset-price bubblefinitely-lived financial assetnon-local free boundary problem

Mathematics Subject Classification ID

Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Optimal stochastic control (93E20)

Recommendations

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Cites work

• scientific article; zbMATH DE number 5016447 (Why is no real title available?)
• scientific article; zbMATH DE number 158461 (Why is no real title available?)
• A mathematical theory of financial bubbles
• A non-local free boundary problem arising in a theory of financial bubbles
• Asset price bubbles from heterogeneous beliefs about~mean reversion rates
• Consumption-Investment Models with Constraints
• Discontinuous solutions of deterministic optimal stopping time problems
• On the Possibility of Price Decreasing Bubbles
• Optimal Stopping Rules
• Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations

Cited in

(3)

• Toxic asset bubbles
• A risk-neutral equilibrium leading to uncertain volatility pricing
• Asset price bubbles in markets with transaction costs

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