A system of first order Hamilton-Jacobi equations related to an optimal debt management problem

DOI10.1007/S00030-022-00774-3zbMATH Open1500.35092arXiv2102.03884OpenAlexW4282835013MaRDI QIDQ2149888FDOQ2149888

Authors: Khai T. Nguyen, Antonio Marigonda 

Publication date: 27 June 2022

Published in: NoDEA. Nonlinear Differential Equations and Applications (Search for Journal in Brave)

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 $x^{\ast }o+infty$ is also provided.

Full work available at URL: https://arxiv.org/abs/2102.03884

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zbMATH Keywords

Hamilton-Jacobi equationsviscosity solutionsequilibrium solutionsdeterministic optimal debt management

Mathematics Subject Classification ID

Viscosity solutions to PDEs (35D40) Hamilton-Jacobi equations (35F21)

Cites Work

• Title not available (Why is that?)
• An equilibrium model of debt and bankruptcy
• The vanishing viscosity limit for a system of H-J equations related to a debt management problem
• A stochastic model of optimal debt management and bankruptcy
• A model of debt with bankruptcy risk and currency devaluation

Cited In (3)

• Stochastic equilibrium solution for a debt management problem with currency devaluation
• A model of debt with bankruptcy risk and currency devaluation
• The vanishing viscosity limit for a system of H-J equations related to a debt management problem

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