A model of debt with bankruptcy risk and currency devaluation

zbMath1451.49029arXiv1910.00187MaRDI QIDQ5131862

Rossana Capuani, Steven Gilmore, Khai T. Nguyen

Publication date: 9 November 2020

Full work available at URL: https://arxiv.org/abs/1910.00187

zbMATH Keywords

stochastic optimal controloptimal feedback solutiondebt management and bankruptcy

Mathematics Subject Classification ID

Optimal feedback synthesis (49N35) Applications of optimal control and differential games (49N90) Financial applications of other theories (91G80) Optimality conditions for problems involving randomness (49K45) Variational principles of physics (49S05) Hamilton-Jacobi equations (35F21)

Related Items (1)

A system of first order Hamilton-Jacobi equations related to an optimal debt management problem

Cites Work

• Unnamed Item
• Invariant sets and existence theorems for semilinear parabolic and elliptic systems
• The vanishing viscosity limit for a system of H-J equations related to a debt management problem
• Stochastic calculus for finance. II: Continuous-time models.
• An equilibrium model of debt and bankruptcy
• On the strong maximum principle for parabolic differential equations
• A Stochastic Model of Optimal Debt Management and Bankruptcy
• Stochastic differential equations. An introduction with applications.

This page was built for publication: A model of debt with bankruptcy risk and currency devaluation