English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Global: Zendy Plus annual

Presents the access of premium content as premium feature

Premium Content

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Global: Zendy Plus monthly

Global: Zendy Tools annual

Global: Zendy Tools monthly

Global: Zendy Free Plan

In this paper we further extend the optimal bubble riding model proposed byTangpi and Wang by allowing for price-dependent entry times. Agents arecharacterized by their individual entry threshold that represents their beliefin the strength of the bubble. Conversely, the growth dynamics of the bubble isfueled by the influx of players. Price-dependent entry naturally leads to amean field game of controls with common noise and random entry time, for whichwe provide an existence result. The equilibrium is obtained by first solvingdiscretized versions of the game in the weak formulation and then examining themeasurability property in the limit. In this paper, the common noise comes fromtwo sources: the price of the asset which all agents trade, and also theexogenous bubble burst time, which we also discretize and incorporate into themodel via progressive enlargement of filtration.

Optimal Bubble Riding with Price-dependent Entry: a Mean Field Game of Controls with Common Noise