Financing policies via stochastic control: a dynamic programming approach

摘要

This paper deals with a theoretical stochastic dynamic optimization model forthe external financing of firms. We aim at searching for the best intensity of payment that afinancier has to apply to a company in order to have a loan repaid. The techniques involvedare related to the optimal control theory with exit time. We follow a dynamic programmingapproach. 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 examplesprovide further validation of the theoretical results.