Applications of stochastic optimal control/dynamic programming to international finance and debt crises

DOI10.1016/j.na.2005.02.106zbMath1224.93134MaRDI QIDQ1000008

Jerome L. Stein

Publication date: 4 February 2009

Published in: Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.na.2005.02.106

zbMATH Keywords

dynamic programming; stochastic optimal control; optimal debt; warning signals of debt crises

Mathematics Subject Classification ID

49L20: Dynamic programming in optimal control and differential games

91B70: Stochastic models in economics

93E20: Optimal stochastic control

91B74: Economic models of real-world systems (e.g., electricity markets, etc.)