Next Article in Journal
A Multivariate Model to Quantify and Mitigate Cybersecurity Risk
Previous Article in Journal
How Does the Volatility of Volatility Depend on Volatility?
Open AccessFeature PaperArticle

A Bank Salvage Model by Impulse Stochastic Controls

1
Department of Computer Science, University of Verona, Strada le Grazie, 15, 37134 Verona, Italy
2
Department of Mathematics, Penn State University, University Park, PA 16802, USA
*
Author to whom correspondence should be addressed.
Risks 2020, 8(2), 60; https://doi.org/10.3390/risks8020060
Received: 23 April 2020 / Revised: 28 May 2020 / Accepted: 2 June 2020 / Published: 4 June 2020
The present paper is devoted to the study of a bank salvage model with a finite time horizon that is subjected to stochastic impulse controls. In our model, the bank’s default time is a completely inaccessible random quantity generating its own filtration, then reflecting the unpredictability of the event itself. In this framework the main goal is to minimize the total cost of the central controller, which can inject capitals to save the bank from default. We address the latter task, showing that the corresponding quasi-variational inequality (QVI) admits a unique viscosity solution—Lipschitz continuous in space and Hölder continuous in time. Furthermore, under mild assumptions on the dynamics the smooth-fit W l o c ( 1 , 2 ) , p property is achieved for any 1 < p < + . View Full-Text
Keywords: bank salvage model; stochastic impulse control; viscosity solution; inaccessible bankruptcy time; smooth-fit property bank salvage model; stochastic impulse control; viscosity solution; inaccessible bankruptcy time; smooth-fit property
MDPI and ACS Style

Cordoni, F.G.; Di Persio, L.; Jiang, Y. A Bank Salvage Model by Impulse Stochastic Controls. Risks 2020, 8, 60. https://doi.org/10.3390/risks8020060

AMA Style

Cordoni FG, Di Persio L, Jiang Y. A Bank Salvage Model by Impulse Stochastic Controls. Risks. 2020; 8(2):60. https://doi.org/10.3390/risks8020060

Chicago/Turabian Style

Cordoni, Francesco G.; Di Persio, Luca; Jiang, Yilun. 2020. "A Bank Salvage Model by Impulse Stochastic Controls" Risks 8, no. 2: 60. https://doi.org/10.3390/risks8020060

Find Other Styles
Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.

Article Access Map by Country/Region

1
Search more from Scilit
 
Search
Back to TopTop