Stochastic optimal control, international finance and debt

Journal of Banking and Finance

Volumn 28, Issue 5, 2004, Pages 979-996

  Fleming, Wendell H ^a   Stein, Jerome L ^a  

^a BROWN UNIVERSITY   (United States)

Author keywords

Debt; International finance; Stochastic optimal control; Sustainable current account deficits; Vulnerability to external shocks

Indexed keywords

EID: 1642336705     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4266(03)00138-9     Document Type: Article

References (17)

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2. Fleming, W.H., 2001. Stochastic Control Models of Optimal Investment and Consumption, Aportaciones Mathemáticas, Modelos Estocásticos II. In: Hernández, D., López-Mimbela, J.A., Quezada, R., (Eds.), Sociedad Mathemátics, Mexico
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9. Infante E. Stein J.L. Optimal Growth with Robust Feedback Control Review of Economic Studies XL 1973 47-60
10. International Monetary Fund, World Economic Outlook, 1997. Crisis in Asia, Interim Assessment, December, Washington, DC
11. International Monetary Fund, 1998. World Economic Outlook, Financial Crises, May, Washington, DC
12. International Monetary Fund, 1999. International Capital Markets, Washington, DC
13. International Monetary Fund, 1999. Anticipating Balance of Payments Crises, Occasional Paper #186, Washington, DC
14. Merton R.K. Continuous Time Finance 1990 Blackwell Cambridge, MA
15. Stein, J.L., Paladino, G., 2001. Country default risk: An empirical assessment, Australian Economic Papers 40 (4), December
16. Stein J.L. Paladino G. Recent developments in international finance: A guide to research Journal Banking and Finance 21 1997
17. Stein, J.L., 2003. Stochastic Optimal Control/Dynamic Programming Modeling of Debt Crises, American Mathematical Society/SIAM Summer Research Conference in Mathematical Sciences, Mathematics of Finance, Snowbird Utah, June