martingale method to solve the dynamic optimization problem in continuous time. I find that ambiguity can decrease the optimal …

decomposed into a sum with two opportunity processes L± appearing as coefficients. The martingale optimality principle translates …, stochastic control ; semimartingales ; BSDEs ; martingale optimality principle ; opportunity process ; E-martingales ; linear …

finance ; variance-optimal martingale measure …

There are two major streams of literature on the modeling of financial bubbles: the strict local martingale framework … can exhibit strict local martingale behavior, we clarify the connection between these previously disconnected approaches …. While the original JLS model is never a strict local martingale, there are relaxations which can be strict local martingales …