Special Session 32: 

A Stochastic Model of Optimal Debt Management and Bankruptcy

Tien Khai Nguyen
North Carolina State University
USA
Co-Author(s):    A. Marigonda, A. Bressan and M. Palladino
Abstract:
Consider a problem of optimal debt management which is modeled as a non-cooperative game between a borrower and a pool of risk neutral lenders. Since the debtor may go bankrupt, lenders charge a higher interest rate to offset the possible loss of part of their investment. In this talk, I will present results on existence and properties of optimal strategies, both in a deterministic and in a stochastic framework.