Effects of Positive Jumps of Assets on Endogenous Bankruptcy and Optimal Capital Structure: Continuous- and Periodic-Observation Models

DOI10.1137/20M1362127zbMath1473.91025arXiv2008.10651MaRDI QIDQ5162845

Dante Mata López, Kazutoshi Yamazaki, José Luis Pérez Garmendia

Publication date: 5 November 2021

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2008.10651

zbMATH Keywords

credit riskendogenous bankruptcyoptimal capital structurespectrally positive Lévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stopping times; optimal stopping problems; gambling theory (60G40) Credit risk (91G40)

Related Items (2)

Time‐average stochastic control based on a singular local Lévy model for environmental project planning under habit formation ⋮ Optimal Stopping for Exponential Lévy Models with Weighted Discounting

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