Optimal feedback control of stock prices under credit risk dynamics

DOI10.1007/s10479-021-04002-6zbMath1494.91145OpenAlexW3130551139MaRDI QIDQ2151675

Jing Hai Shao, Sovan Mitra, Andreas Karathanasopoulos

Publication date: 5 July 2022

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-021-04002-6

zbMATH Keywords

optimal controlregime switchingcredit riskfinancial crisisstock price model

Mathematics Subject Classification ID

Feedback control (93B52) Optimal stochastic control (93E20) Credit risk (91G40) Financial networks (including contagion, systemic risk, regulation) (91G45) Financial markets (91G15)

Uses Software

• Dowd

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