Titlebook: Optimal Control of Credit Risk; Didier Cossin,Felipe M. Aparicio Book 2001 Springer Science+Business Media Dordrecht 2001 credit risk.deri

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Full-Observation Case, .(.) cannot force to be non-negative with this model. To make sure that .(.) is always positive, we can choose a . at the barrier . = 0, as a model for the assets’ value process. However, it is also possible to have negative values for .(.) with arbitrarily small probability, by an appropriate sele

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Partial Observation Case,eneral solution to this problem. Also, we will only discuss the solution to the impulse control problem, since for the optimal stopping problem the solution can be deducted from the former, by replacing the control costs with the stopping cost.

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