Financing policies via stochastic control: a dynamic programming approach

被引：0
|
作者：
Roy Cerqueti
机构：
[1] University of Macerata,Department of Economic and Financial Institutions
来源：
Journal of Global Optimization | 2012年 / 53卷
关键词：
Stochastic optimal control; Dynamic programming; Hamilton Jacobi Bellman equation; Viscosity solutions; Company external financing;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
This paper deals with a theoretical stochastic dynamic optimization model for the external financing of firms. We aim at searching for the best intensity of payment that a financier has to apply to a company in order to have a loan repaid. The techniques involved are related to the optimal control theory with exit time. We follow a dynamic programming approach. Our model also presents a distinction between the legal and the illegal financier, and a theoretical comparison analysis of the results is presented. Some numerical examples provide further validation of the theoretical results.
引用
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页码：539 / 561
页数：22
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