Optimal feedback control of stock prices under credit risk dynamics
本文建立了一个明确纳入信用风险的股票价格模型，通过随机最优控制系统研究管理者对信用风险的控制策略，证明了最优反馈控制的存在性、值函数的连续性以及动态规划原理，对理解金融危机后信用风险对股价的影响有实际意义。
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.