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

DOI10.1007/S00030-022-00774-3MaRDI QIDQ2149888zbMATH OpenOpenAlexFDO

Authors Khai T. Nguyen, Antonio Marigonda

Publication date 27 June 2022

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

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

zbMATH Keywords

Hamilton-Jacobi equationsviscosity solutionsequilibrium solutionsdeterministic optimal debt management

Mathematics Subject Classification ID

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

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.

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Cites work

• scientific article; zbMATH DE number 1376935 (Why is no real title available?)
• A model of debt with bankruptcy risk and currency devaluation
• A stochastic model of optimal debt management and bankruptcy
• An equilibrium model of debt and bankruptcy
• The vanishing viscosity limit for a system of H-J equations related to a debt management problem

Cited in

(3)

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

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