The martingale theory of bubbles studies the existence and characterization of asset price bubbles in continuous time and continuous trading economies under both the no arbitrage (no free lunch vanishing risk) and no dominance hypotheses. We review this theory, with an emphasis on understanding...

A strict local martingale is a local martingale that is not a martingale. We investigate how such a process might arise from a true martingale as a result of an enlargement of the filtration and a change of measure. We study and implement a particular type of enlargement, initial expansion of...