15 citations · 36 across the 11 of their papers we have counts for
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q-fin.MF2019
A bank salvage model by impulse stochastic controls
Francesco Cordoni, Luca Di Persio, Yilun Jiang
The present paper is devoted to the study of a bank salvage model with finite time horizon and subjected to stochastic impulse controls. In our model, the bank's default time is a…
q-fin.MF2019
A lending scheme for a system of interconnected banks with probabilistic constraints of failure
Francesco Cordoni, Luca Di Persio, Luca Prezioso
We derive a closed form solution for an optimal control problem related to an interbank lending schemes subject to terminal probability constraints on the failure of banks which ar…