This paper deals with a theoretical stochastic dynamic optimization model for the external financing of firms. We aim at searching for the best intensity of payment that a financier has to apply to a company in order to have a loan repaid. The techniques involved are related to the optimal control theory with exit time. We follow a dynamic programming approach. Our model also presents a distinction between the legal and the illegal financier, and a theoretical comparison analysis of the results is presented. Some numerical examples provide further validation of the theoretical results.

Financing policies via stochastic control: a dynamic programming approach

CERQUETI, ROY
2012-01-01

Abstract

This paper deals with a theoretical stochastic dynamic optimization model for the external financing of firms. We aim at searching for the best intensity of payment that a financier has to apply to a company in order to have a loan repaid. The techniques involved are related to the optimal control theory with exit time. We follow a dynamic programming approach. Our model also presents a distinction between the legal and the illegal financier, and a theoretical comparison analysis of the results is presented. Some numerical examples provide further validation of the theoretical results.
2012
--Netherlands: Springer Netherlands -Dordrecht Netherlands:Kluwer Academic Publishers
Internazionale
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11393/95006
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