Asset price bubbles from heterogeneous beliefs about~mean reversion rates

DOI10.1007/s00780-010-0124-xzbMath1303.91081OpenAlexW1973791357MaRDI QIDQ483710

Robert V. Kohn, Xi Chen

Publication date: 17 December 2014

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-010-0124-x

zbMATH Keywords

heterogeneous beliefsasset price bubbleminimal equilibrium price

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) General equilibrium theory (91B50)

Related Items (8)

System of variational inequalities with interconnected obstacles ⋮ Conditions for bubbles to arise under heterogeneous beliefs ⋮ Erratum to: Asset price bubbles from heterogeneous beliefs about mean reversion rates ⋮ A non-local free boundary problem arising in a theory of financial bubbles ⋮ The second Kummer function with matrix parameters and its asymptotic behaviour ⋮ Numerical treatment to a non-local parabolic free boundary problem arising in financial bubbles ⋮ Bubbles in assets with finite life ⋮ Iterative scheme for an elliptic non-local free boundary problem

Cites Work

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• Natural Selection in Financial Markets: Does It Work?
• User’s guide to viscosity solutions of second order partial differential equations
• Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations
• The Confluent Hypergeometric Function
• Existence of Equilibrium of Plans, Prices, and Price Expectations in a Sequence of Markets

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