Martingale Approach

Hamilton Galindo Gil ()
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Hamilton Galindo Gil: Cleveland State University, Department of Finance and Economics

Chapter Chapter 3 in Heterogeneous Agents in Asset Pricing, Vol 1, 2025, pp 105-128 from Springer

Abstract: Abstract This chapter describes the second approach to solving the dynamic optimization problem of an agent in continuous-time asset pricing theory: the martingale approach. This approach exploits the martingale characteristic of asset prices to solve dynamic models. This chapter provides a detailed explanation of this approach and compares it to the dynamic programming approach.

Date: 2025
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DOI: 10.1007/978-3-031-93263-2_3

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