A Stochastic Model of Optimal Debt Management and Bankruptcy

DOI10.1137/16M1095019zbMath1386.49052arXiv1609.05983OpenAlexW2521526399WikidataQ59263744 ScholiaQ59263744MaRDI QIDQ4607052

Khai T. Nguyen, Alberto Bressan, Michele Palladino, Antonio Marigonda

Publication date: 12 March 2018

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1609.05983

zbMATH Keywords

Hamilton-Jacobi-Bellman equationinfinite time horizonoptimal feedback solutiondebt management and bankruptcy

Mathematics Subject Classification ID

Optimal feedback synthesis (49N35) Optimal stochastic control (93E20) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (4)

A system of first order Hamilton-Jacobi equations related to an optimal debt management problem ⋮ Optimal open-loop strategies in a debt management problem ⋮ 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

• Noncooperative differential games
• Invariant sets and existence theorems for semilinear parabolic and elliptic systems
• Stochastic calculus for finance. II: Continuous-time models.
• An equilibrium model of debt and bankruptcy
• Optimal open-loop strategies in a debt management problem
• Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations
• Stochastic differential equations. An introduction with applications.
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