Bubbles in discrete-time models

Abstract We introduce a new definition of bubbles in discrete-time models based on the discounted stock price losing mass under an equivalent martingale measure at some finite drawdown. provide probabilistic characterisations this and give examples martingales that are others not. In Markovian case, we sufficient analytic conditions for presence bubbles. also show existence is directly linked to non-trivial solution linear Volterra integral equation second kind involving Markov kernel. Finally, our discrete time consistent with strict local continuous sense properly discretised bubble time.