Mitra, S., Jinghai Shao and Karathanasopoulos, Andreas 2022. Optimal Feedback Control of Stock Prices Under Credit Risk Dynamics. Annals of Operations Research. 313, pp. 1285-1318. https://doi.org/10.1007/s10479-021-04002-6
| Title | Optimal Feedback Control of Stock Prices Under Credit Risk Dynamics |
|---|---|
| Type | Journal article |
| Authors | Mitra, S., Jinghai Shao and Karathanasopoulos, Andreas |
| Abstract | In this paper we provide a stock price model that explicitly incorporates credit risk, under a stochastic optimal control system. The stock price model also incorporates the managerial control of credit risk through a control policy in the stochastic system. We provide explicit conditions on the existence of optimal feedback controls for the stock price model with credit risk. We prove the continuity of the value function, and then prove the dynamic programming principle for our system. Finally, we prove the Viscosity Solution of the Hamilton–Jacobi–Bellman equation. This paper is particularly relevant to industry, as the impact of credit risk upon stock prices has been prominent since the commencement of the Global Financial Crisis. |
| Keywords | Credit risk, Stock price model, Optimal control, Regime switching, Financial crisis |
| Journal | Annals of Operations Research |
| Journal citation | 313, pp. 1285-1318 |
| ISSN | 0254-5330 |
| 1572-9338 | |
| Year | 2022 |
| Publisher | Springer |
| Accepted author manuscript | License CC BY 4.0 File Access Level Open (open metadata and files) |
| Publisher's version | License CC BY 4.0 File Access Level Open (open metadata and files) |
| Digital Object Identifier (DOI) | https://doi.org/10.1007/s10479-021-04002-6 |
| Web address (URL) | https://link.springer.com/article/10.1007/s10479-021-04002-6 |
| Publication dates | |
| Published | 17 Mar 2021 |
| Published in print | 2022 |
| Supplemental file | License CC BY 4.0 File Access Level Open (open metadata and files) |