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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.

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Martingale Approach

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  • 发表日期：

    2025年

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  • Hamilton Galindo Gil

摘要

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.