Stochastic equilibrium solution for a debt management problem with currency devaluation

DOI10.3934/MCRF.2023014zbMATH Open1541.49002MaRDI QIDQ6556589

Khai T. Nguyen, Antonio Marigonda

Publication date: 17 June 2024

Published in: Mathematical Control and Related Fields (Search for Journal in Brave)

zbMATH Keywords

infinite time horizoncurrency devaluationstochastic modeldebt managementoptimal feedback solution

Mathematics Subject Classification ID

Optimal feedback synthesis (49N35) Financial applications of other theories (91G80) Existence theories for free problems in one independent variable (49J05) Risk models (general) (91B05)

Cites Work

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• Invariant sets and existence theorems for semilinear parabolic and elliptic systems
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• An equilibrium model of debt and bankruptcy
• A Stochastic Model of Optimal Debt Management and Bankruptcy
• A model of debt with bankruptcy risk and currency devaluation
• Stochastic differential equations. An introduction with applications.

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