Optimal debt management with bankruptcy risk
Speaker: Alberto Bressan, Penn State
Abstract: A problem of optimal debt management in infinite time horizon is modeled as a noncooperative game between a borrower and a pool of risk-neutral lenders. Because of the presence of a bankruptcy risk, lenders charge a higher interest rate to offset the possible loss of part of their investment. Optimal solutions are found in open-loop and in feedback form.
Room Reservation Information
Room Number: 106 McAllister
Time: 3:30pm - 4:30pm