Optimal open-loop strategies in a debt management problem

DOI10.1142/S0219530517500038MaRDI QIDQ4594825zbMATH OpenWikidataFDO

Authors Alberto Bressan, Yilun Jiang

Publication date 24 November 2017

Published in Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/S0219530517500038

zbMATH Keywords

bankruptcy riskdebt managementinfinite time horizonnecessary conditionsopen-loop strategiesoptimal control

Mathematics Subject Classification ID

Existence theories for optimal control problems involving ordinary differential equations (49J15) Optimality conditions for problems involving ordinary differential equations (49K15) Applications of optimal control and differential games (49N90) Macroeconomic theory (monetary models, models of taxation) (91B64)

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Cites work

• A stochastic model of optimal debt management and bankruptcy
• An equilibrium model of debt and bankruptcy
• scientific article; zbMATH DE number 706270 (Why is no real title available?)
• scientific article; zbMATH DE number 3798532 (Why is no real title available?)
• scientific article; zbMATH DE number 6165819 (Why is no real title available?)
• Introduction to the mathematical theory of control
• Necessary Conditions for Optimal Control Problems with Infinite Horizons
• Noncooperative differential games
• Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations
• The Pontryagin Maximum Principle and Transversality Conditions for a Class of Optimal Control Problems with Infinite Time Horizons
• The Pontryagin maximum principle for nonlinear optimal control problems with infinite horizon

Cited in

(4)

• The vanishing viscosity limit for a system of H-J equations related to a debt management problem
• 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

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