An equilibrium model of debt and bankruptcy
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Publication:2835344
DOI10.1051/cocv/2016030zbMath1353.49050OpenAlexW2412955872WikidataQ59263812 ScholiaQ59263812MaRDI QIDQ2835344
Alberto Bressan, Khai T. Nguyen
Publication date: 2 December 2016
Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1051/cocv/2016030
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Related Items (5)
A system of first order Hamilton-Jacobi equations related to an optimal debt management problem ⋮ Optimal open-loop strategies in a debt management problem ⋮ A Stochastic Model of Optimal Debt Management and Bankruptcy ⋮ The vanishing viscosity limit for a system of H-J equations related to a debt management problem ⋮ A model of debt with bankruptcy risk and currency devaluation
Cites Work
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- Interest rate models -- theory and practice. With smile, inflation and credit
- Dynamic noncooperative game theory
- A Theory of the Term Structure of Interest Rates
- The Market Model of Interest Rate Dynamics
- Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations
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