Optimal Bankruptcy with a Continuous Debt Repayment
نویسندگان
چکیده
منابع مشابه
A Stochastic Model of Optimal Debt Management and Bankruptcy
A problem of optimal debt management is modeled as a noncooperative interaction between a borrower and a pool of lenders, in infinite time horizon with exponential discount. The yearly income of the borrower is governed by a stochastic process. When the debt-to-income ratio x(t) reaches a given size x∗, bankruptcy instantly occurs. The interest rate charged by the risk-neutral lenders is precis...
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ژورنال
عنوان ژورنال: Management Science and Financial Engineering
سال: 2016
ISSN: 2287-2043
DOI: 10.7737/msfe.2016.22.1.013