Applications of stochastic optimal control/dynamic programming to international finance and debt crises

DOI10.1016/j.na.2005.02.106zbMath1224.93134OpenAlexW1989828667MaRDI QIDQ1000008

Jerome L. Stein

Publication date: 4 February 2009

Published in: Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.na.2005.02.106

zbMATH Keywords

dynamic programmingstochastic optimal controloptimal debtwarning signals of debt crises

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Stochastic models in economics (91B70) Optimal stochastic control (93E20) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

Cites Work

• Asymptotic expansions for Markov processes with Lévy generators
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