A bank salvage model by impulse stochastic controls
| Autor: | Luca Di Persio, Yilun Jiang, Francesco Cordoni |
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| Rok vydání: | 2019 |
| Předmět: |
Total cost
Strategy and Management Economics Econometrics and Finance (miscellaneous) Hölder condition Impulse (physics) inaccessible bankruptcy time 01 natural sciences lcsh:HG8011-9999 lcsh:Insurance FOS: Economics and business 010104 statistics & probability Accounting 0502 economics and business ddc:330 Applied mathematics 0101 mathematics Mathematics stochastic impulse control viscosity solution 050208 finance 05 social sciences bank salvage model stochastic impulse control viscosity solution inaccessible bankruptcy time smooth-fit property smooth-fit property bank salvage model Mathematical Finance (q-fin.MF) Quantitative Finance - Mathematical Finance Viscosity solution Finite time |
| Zdroj: | Risks Volume 8 Issue 2 Risks, Vol 8, Iss 60, p 60 (2020) |
| DOI: | 10.48550/arxiv.1910.03056 |
| Popis: | 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&rsquo s default time is a completely inaccessible random quantity generating its own filtration, then reflecting the unpredictability of the event itself. In this framework the main goal is to minimize the total cost of the central controller, which can inject capitals to save the bank from default. We address the latter task, showing that the corresponding quasi-variational inequality (QVI) admits a unique viscosity solution&mdash Lipschitz continuous in space and Hö lder continuous in time. Furthermore, under mild assumptions on the dynamics the smooth-fit W l o c ( 1 , 2 ) , p property is achieved for any 1 < p < + &infin |
| Databáze: | OpenAIRE |
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