An Economic Bubble Model and Its First Hitting Time


We introduce a new diffusion process $X_t$ to describe asset price dynamics within an economic bubble cycle. The main feature in our model is the special drift term where the dependence structure among the price, the... [ view full abstract ]


  1. Luting Li (London School of Economics and Political Science)
  2. Angelos Dassios (London School of Economics and Political Science)

Topic Areas

Asymptotics , Blockchains and Cryptocurrencies , Stochastic Analysis


MO-P-SY » Bubbles and Macro Models (14:30 - Monday, 16th July, Synge)

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