A Mathematical Theory of Financial Bubbles

DOI10.1007/978-3-319-00413-6_1zbMath1277.91134MaRDI QIDQ2847835

Philip E. Protter

Publication date: 11 September 2013

Published in: Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-00413-6_1

zbMATH Keywords

incomplete market; stochastic volatility; bubbles; reproducing kernel Hilbert space; complete market; local martingale; price operator; fundamental value; smooth kernel estimator; non-arbitrage; market price

Mathematics Subject Classification ID

91-02: Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance

91B64: Macroeconomic theory (monetary models, models of taxation)

91B24: Microeconomic theory (price theory and economic markets)

60H30: Applications of stochastic analysis (to PDEs, etc.)

60G44: Martingales with continuous parameter

91G99: Actuarial science and mathematical finance

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