An equilibrium model of debt and bankruptcy

DOI10.1051/COCV/2016030MaRDI QIDQ2835344zbMATH OpenOpenAlexWikidataFDO

Authors Alberto Bressan, Khai T. Nguyen

Publication date 2 December 2016

Published in European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1051/cocv/2016030

zbMATH Keywords

differential gameoptimal controlbankruptcy riskoptimal debt management

Mathematics Subject Classification ID

Differential games and control (49N70) Differential games (aspects of game theory) (91A23) Existence theories for optimal control problems involving ordinary differential equations (49J15) Applications of optimal control and differential games (49N90) General equilibrium theory (91B50)

Recommendations

• A stochastic model of optimal debt management and bankruptcy
• scientific article; zbMATH DE number 1989759
• A model of debt with bankruptcy risk and currency devaluation
• Optimal open-loop strategies in a debt management problem
• Optimal strategies in a risky debt context

Cites work

• scientific article; zbMATH DE number 51863 (Why is no real title available?)
• scientific article; zbMATH DE number 5681750 (Why is no real title available?)
• A theory of the term structure of interest rates
• Dynamic noncooperative game theory
• Interest rate models -- theory and practice. With smile, inflation and credit
• Interest rate models: an introduction
• Introduction to the mathematical theory of control
• Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations
• The Market Model of Interest Rate Dynamics

Cited in

(20)

• Resort pricing and bankruptcy
• A model of debt with bankruptcy risk and currency devaluation
• Stochastic equilibrium solution for a debt management problem with currency devaluation
• A game theoretical approach to the international debt overhang
• On preferences related party transactions, financial anomalies and the willingness to repay debt based on structural equation
• scientific article; zbMATH DE number 1989759 (Why is no real title available?)
• Default and Renegotiation: A Dynamic Model of Debt
• Game-theoretic approach to bank loan repayment
• The Omega model: from bankruptcy to occupation times in the red
• Optimal strategies in a risky debt context
• Minimizing the repayment cost of federal student loans
• A system of first order Hamilton-Jacobi equations related to an optimal debt management problem
• Debt and Wage Negotiations: A Bankruptcy-Based Approach
• Optimal open-loop strategies in a debt management problem
• A Note on Bankruptcy Rules and Credit Constraints in Temporary Equilibrium
• SCREENING AS A UNIFIED THEORY OF DELINQUENCY, RENEGOTIATION, AND BANKRUPTCY
• scientific article; zbMATH DE number 7344407 (Why is no real title available?)
• The vanishing viscosity limit for a system of H-J equations related to a debt management problem
• Unawareness and bankruptcy: a general equilibrium model
• A stochastic model of optimal debt management and bankruptcy

This page was built for publication: An equilibrium model of debt and bankruptcy

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2835344)