Stochastic equilibrium solution for a debt management problem with currency devaluation

DOI10.3934/MCRF.2023014zbMATH Open1541.49002MaRDI QIDQ6556589FDOQ6556589

Authors: Antonio Marigonda, Khai T. Nguyen 

Publication date: 17 June 2024

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

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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)

Cites Work

• Stochastic differential equations. An introduction with applications.
• Stochastic calculus for finance. II: Continuous-time models.
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• Invariant sets and existence theorems for semilinear parabolic and elliptic systems
• An equilibrium model of debt and bankruptcy
• A stochastic model of optimal debt management and bankruptcy
• A system of first order Hamilton-Jacobi equations related to an optimal debt management problem
• A model of debt with bankruptcy risk and currency devaluation

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