Stochastic equilibrium solution for a debt management problem with currency devaluation

DOI10.3934/MCRF.2023014MaRDI QIDQ6556589zbMATH OpenFDO

Authors Antonio Marigonda, Khai T. Nguyen

Publication date 17 June 2024

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

zbMATH Keywords

infinite time horizonstochastic modeldebt managementoptimal feedback solutioncurrency devaluation

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3505708 (Why is no real title available?)
• scientific article; zbMATH DE number 1266748 (Why is no real title available?)
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• A model of debt with bankruptcy risk and currency devaluation
• A stochastic model of optimal debt management and bankruptcy
• A system of first order Hamilton-Jacobi equations related to an optimal debt management problem
• An equilibrium model of debt and bankruptcy
• Invariant sets and existence theorems for semilinear parabolic and elliptic systems
• Stochastic calculus for finance. II: Continuous-time models.
• Stochastic differential equations. An introduction with applications.

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