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  • Search: person:"Jiang, Yilun"
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Year of publication
Subject
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Stochastic process 2 Stochastischer Prozess 2 bank salvage model 2 inaccessible bankruptcy time 2 smooth-fit property 2 stochastic impulse control 2 viscosity solution 2 Bank 1 Bankenkrise 1 Banking crisis 1 Control theory 1 Dividend 1 Dividende 1 Duopol 1 Duopoly 1 Equilibrium theory 1 Feedback strategy 1 Game theory 1 Gleichgewichtstheorie 1 HJB equation 1 Insolvency 1 Insolvenz 1 Kontrolltheorie 1 Markov chain 1 Markov-Kette 1 Nichtkooperatives Spiel 1 Non-cooperative game 1 Noncooperative game 1 Spieltheorie 1 Stackelberg equilibrium 1 Stochastic game 1 Stochastisches Spiel 1 Theorie 1 Theory 1 capital injection 1 dividend payment 1 jump-diffusion 1 semi-Markov process 1 stochastic control 1
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Online availability
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Free 3 CC license 2 Undetermined 1
Type of publication
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Article 4
Type of publication (narrower categories)
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Article in journal 3 Aufsatz in Zeitschrift 3 Article 1
Language
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English 4
Author
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Jiang, Yilun 4 Di Persio, Luca 3 Cordoni, Francesco Giuseppe 2 Bressan, Alberto 1 Prezioso, Luca 1
Published in...
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Risks : open access journal 2 Dynamic games and applications : DGA 1 Risks 1
Source
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ECONIS (ZBW) 3 EconStor 1
Showing 1 - 4 of 4
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A Semi-Markov dynamic capital injection problem for distressed banks
Di Persio, Luca; Prezioso, Luca; Jiang, Yilun - In: Risks : open access journal 11 (2023) 4, pp. 1-16
Our study investigates the optimal dividend strategy for a bank, taking into account the potential for government capital injections. We explore different types of government interventions, such as liberal, transparent, or uncertain strategies, and consider both single and multiple types of...
Persistent link: https://www.econbiz.de/10014303713
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Cover Image
A bank salvage model by impulse stochastic controls
Cordoni, Francesco Giuseppe; Di Persio, Luca; Jiang, Yilun - In: Risks : open access journal 8 (2020) 2/60, pp. 1-31
The present paper is devoted to the study of a bank salvage model with a finite time horizon that is subjected to stochastic impulse controls. In our model, the bank’s default time is a completely inaccessible random quantity generating its own filtration, then reflecting the unpredictability...
Persistent link: https://www.econbiz.de/10012292938
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Cover Image
Self-consistent feedback Stackelberg equilibria for infinite horizon stochastic games
Bressan, Alberto; Jiang, Yilun - In: Dynamic games and applications : DGA 10 (2020) 2, pp. 328-360
Persistent link: https://www.econbiz.de/10012623836
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Cover Image
A bank salvage model by impulse stochastic controls
Cordoni, Francesco Giuseppe; Di Persio, Luca; Jiang, Yilun - In: Risks 8 (2020) 2, pp. 1-31
The present paper is devoted to the study of a bank salvage model with a finite time horizon that is subjected to stochastic impulse controls. In our model, the bank's default time is a completely inaccessible random quantity generating its own filtration, then reflecting the unpredictability of...
Persistent link: https://www.econbiz.de/10013200593
Saved in:
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