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

页码：539 / 561

页数：22

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