Abstract
This article deals with the modelisation of defeasance strategies chosen by industrial firms or financial institutions. In the first part, we present the financial concepts and the classical formulation of defeasance based on linear programming, dynamic programming and duality theory. Then we present differential inclusion and develop a practical example dealing with the primal dual differential method and the algorithm of resolution. The third part contains the main novelty of the paper, the method to yield convergence in finite time which leans on the result of Flam and Seeger.
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Spieser, P., Chevalier, A. (1998). The Defeasance in the Framework of Finite Convergence in Stochastic Programming. In: Zopounidis, C. (eds) Operational Tools in the Management of Financial Risks. Springer, Boston, MA. https://doi.org/10.1007/978-1-4615-5495-0_13
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DOI: https://doi.org/10.1007/978-1-4615-5495-0_13
Publisher Name: Springer, Boston, MA
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