Solutions to a system of first order H-J equations related to a debt management problem

Antonio Marigonda; Khai T. Nguyen

Solutions to a system of first order H-J equations related to a debt management problem

Optimization and Control 2021-02-09 v1 Analysis of PDEs

Authors: Antonio Marigonda , Khai T. Nguyen

Abstract

The paper studies a system of first order Hamilton-Jacobi equations with discontinuous coefficients, arising from a model of deterministic optimal debt management in infinite time horizon, with exponential discount and currency devaluation. The existence of an equilibrium solution is obtained by a suitable concatenation of backward solutions to the system of Hamilton-Jacobi equations. A detailed analysis of the behavior of the solution as the debt-ratio-income $x^*\to +\infty$ is also provided.

Keywords

hamilton-jacobi equations discontinuous coefficients debt management equilibrium solution backward solutions debt-ratio-income

Cite

@article{arxiv.2102.03884,
  title  = {Solutions to a system of first order H-J equations related to a debt management problem},
  author = {Antonio Marigonda and Khai T. Nguyen},
  journal= {arXiv preprint arXiv:2102.03884},
  year   = {2021}
}

Comments

35. arXiv admin note: substantial text overlap with arXiv:1805.05043

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