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Stochastic optimal control, international finance and debt

Fleming, Wendell Helms; Stein, Jerome L. - 2002

We use stochastic optimal control-dynamic programming (DP) to derive the optimal foreign debt/net worth, consumption/net worth, current account/net worth, and endogenous growth rate in an open economy. Unlike the literature that uses an Intertemporal Budget Constraint (IBC) or the Maximum...

Persistent link: https://www.econbiz.de/10001688754

On the fundamental theorem of asset pricing : random constraints and bang-bang no-arbitrage criteria

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Stochastic optimal control, international finance and debt

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Optimal portfolio selection when stock prices follow an jump-diffusion process

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Viable capture basin for studying differential and hybrid games : application to finance

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