Shifting martingale measures and the birth of a bubble as a submartingale
Shifting martingale measures and the birth of a bubble as a submartingale
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鞅措施的转变以及作为子鞅的泡沫的诞生
DOI：
10.1007/s00780-013-0221-8
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发表时间：
2014
影响因子：
1.7
通讯作者：
S. Nedelcu
中科院分区：
文献类型：
--
作者：
F. Biagini;H. Föllmer;S. Nedelcu
在不完整的金融市场模型中，我们研究等价鞅测度空间中的流动以及对给定资产基本价值的相应转变认知。这使我们能够捕捉到感知泡沫的诞生，并将其描述为初始下鞅，然后在回落到初始值零之前变成超鞅。
In an incomplete financial market model, we study a flow in the space of equivalent martingale measures and the corresponding shifting perception of the fundamental value of a given asset. This allows us to capture the birth of a perceived bubble and to describe it as an initial submartingale which then turns into a supermartingale before it falls back to its initial value zero.