Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/258013 
Year of Publication: 
2020
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 8 [Issue:] 2 [Article No.:] 60 [Publisher:] MDPI [Place:] Basel [Year:] 2020 [Pages:] 1-31
Publisher: 
MDPI, Basel
Abstract: 
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(1,2),ploc property is achieved for any 1<p<+É .
Subjects: 
bank salvage model
stochastic impulse control
viscosity solution
inaccessible bankruptcy time
smooth-fit property
Persistent Identifier of the first edition: 
Creative Commons License: 
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Document Type: 
Article
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