Conditions for bubbles to arise under heterogeneous beliefs
研究连续时间资产在异质投资者市场中的价格泡沫，给出泡沫形成的等价条件，发现异质信念不一定导致泡沫，还需分析漂移项，并在波动率一致时给出泡沫大小的显式公式。
This study examines the price bubble of a continuous-time asset traded in a market with heterogeneous investors. Our market constitutes a positive mean-reverting asset and two groups of investors with different beliefs about the model parameters. We provide an equivalent condition for the formation of bubbles and show that price bubbles may not form, although there are heterogeneous beliefs. This suggests that investor heterogeneity does not always result in a bubble, and additional analysis on the drift term is required. Additionally, when investors agree on the volatility, the explicit bubble size can be calculated through a differential equation argument. Analysis of this bubble formula clearly justifies that our model is indeed realistic.