Conference room, 11:00 am-12:00 pm<\/p>\n\n\n\n
Dr. Tien-Khai Nguyen, NC State University.<\/p>\n\n\n\n
Title:\u00a0<\/strong>Differential Game Models of Optimal Debt Management\u00a0 Conference room, 11:00 am-12:00 pm Dr. Tien-Khai Nguyen, NC State University. Title:\u00a0Differential Game Models of Optimal Debt Management\u00a0Abstract:\u00a0In this talk, I will present recent results on\u00a0game theoretical formulation of optimal debt management problems in infinite time horizon with exponential discount, modeled as a noncooperative interaction between a borrower and a pool of risk-neutral lenders. Here, […]<\/p>\n","protected":false},"author":1211,"featured_media":0,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"jetpack_post_was_ever_published":false,"_jetpack_newsletter_access":"","_jetpack_dont_email_post_to_subs":false,"_jetpack_newsletter_tier_id":0,"_jetpack_memberships_contains_paywalled_content":false,"_jetpack_memberships_contains_paid_content":false,"footnotes":"","jetpack_publicize_message":"","jetpack_publicize_feature_enabled":true,"jetpack_social_post_already_shared":true,"jetpack_social_options":{"image_generator_settings":{"template":"highway","default_image_id":0,"font":"","enabled":false},"version":2}},"categories":[1],"tags":[],"class_list":["post-585","post","type-post","status-publish","format-standard","hentry","category-spring-2022"],"jetpack_publicize_connections":[],"jetpack_featured_media_url":"","jetpack_shortlink":"https:\/\/wp.me\/p3kCtT-9r","jetpack_sharing_enabled":true,"_links":{"self":[{"href":"https:\/\/pages.charlotte.edu\/colloquium\/wp-json\/wp\/v2\/posts\/585","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/pages.charlotte.edu\/colloquium\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/pages.charlotte.edu\/colloquium\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/pages.charlotte.edu\/colloquium\/wp-json\/wp\/v2\/users\/1211"}],"replies":[{"embeddable":true,"href":"https:\/\/pages.charlotte.edu\/colloquium\/wp-json\/wp\/v2\/comments?post=585"}],"version-history":[{"count":2,"href":"https:\/\/pages.charlotte.edu\/colloquium\/wp-json\/wp\/v2\/posts\/585\/revisions"}],"predecessor-version":[{"id":587,"href":"https:\/\/pages.charlotte.edu\/colloquium\/wp-json\/wp\/v2\/posts\/585\/revisions\/587"}],"wp:attachment":[{"href":"https:\/\/pages.charlotte.edu\/colloquium\/wp-json\/wp\/v2\/media?parent=585"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/pages.charlotte.edu\/colloquium\/wp-json\/wp\/v2\/categories?post=585"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/pages.charlotte.edu\/colloquium\/wp-json\/wp\/v2\/tags?post=585"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}
Abstract:<\/strong>\u00a0In this talk, I will present recent results on\u00a0game theoretical formulation of optimal debt management problems in infinite time horizon with exponential discount, modeled as a noncooperative interaction between a borrower and a pool of risk-neutral lenders. Here, the yearly income of the borrower is governed by a stochastic process and bankruptcy instantly occurs when the debt-to-income ratio reaches a threshold. Since the borrower may go bankrupt in finite time, the risk-neutral lenders will charge a higher interest rate in order to compensate for this possible loss of their investment. Thus, a \u201csolution\u201d must be understood as a Nash equilibrium, where the strategy implemented by the borrower represents the best reply to the strategy adopted by the lenders, and conversely. This leads to highly nonstandard optimization processes.<\/p>\n","protected":false},"excerpt":{"rendered":"