# Optimal bailout strategies resulting from the drift controlled supercooled Stefan problem

@inproceedings{Cuchiero2021OptimalBS, title={Optimal bailout strategies resulting from the drift controlled supercooled Stefan problem}, author={Christa Cuchiero and Christoph Reisinger and Stefan Rigger}, year={2021} }

We consider the problem faced by a central bank which bails out distressed financial institutions that pose systemic risk to the banking sector. In a structural default model with mutual obligations, the central agent seeks to inject a minimum amount of cash in order to limit defaults to a given proportion of entities. We prove that the value of the central agent’s control problem converges as the number of defaultable institutions goes to infinity, and that it satisfies a drift controlled…

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Implicit and fully discrete approximation of the supercooled Stefan problem in the presence of blow-ups

- MathematicsArXiv
- 2022

We consider two approximation schemes of the one-dimensional supercooled Stefan problem and prove their convergence, even in the presence of ﬁnite time blow-ups. All proofs are based on a…

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