Stochastics Seminar: Khai Nguyen, NC State, Differential Game Models of Optimal Debt Management
SAS 4201In this talk, I will present recent results on game theoretical formulation of optimal debt management problems in an infinite time horizon with exponential discount, modeled as a noncooperative interaction between a borrower and a pool of risk-neutral lenders. Here, the yearly income of the borrower is governed by a stochastic process and bankruptcy instantly occurs…