Bubbles in assets with finite life

DOI10.1007/S11579-018-0233-4zbMATH Open1417.91222OpenAlexW3124692416WikidataQ128648339 ScholiaQ128648339MaRDI QIDQ2312401FDOQ2312401

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

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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)

Cites Work

• Title not available (Why is that?)
• Discontinuous solutions of deterministic optimal stopping time problems
• Title not available (Why is that?)
• A mathematical theory of financial bubbles
• Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations
• Consumption-Investment Models with Constraints
• Optimal Stopping Rules
• Asset price bubbles from heterogeneous beliefs about~mean reversion rates
• On the Possibility of Price Decreasing Bubbles
• A non-local free boundary problem arising in a theory of financial bubbles

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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