Incomplete Information and Heterogeneous Beliefs in Continuous-time Finance

Continuous-time finance was developed in the late sixties and early seventies by R. C. Merton. Over the years, due to its elegance and analytical conve­ nience, the continuous-time paradigm has become the standard tool of anal­ ysis in portfolio theory and asset pricing. However, and probably because it was developed hand in hand with option pricing, in which investors'' expecta­ tions were though...