The paper studies a system of first order Hamilton–Jacobi equa- tions with discontinuous coefficients, arising from a model of deterministic optimal debt management in infinite time horizon, with exponential dis- count and currency devaluation. The existence of an equilibrium solution is obtained by a suitable concatenation of backward solutions to the sys- tem of Hamilton–Jacobi equations. A detailed analysis of the behavior of the solution as the debt-ratio-income tends to infinity is provided.

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

Marigonda, Antonio
;
2022-01-01

Abstract

The paper studies a system of first order Hamilton–Jacobi equa- tions with discontinuous coefficients, arising from a model of deterministic optimal debt management in infinite time horizon, with exponential dis- count and currency devaluation. The existence of an equilibrium solution is obtained by a suitable concatenation of backward solutions to the sys- tem of Hamilton–Jacobi equations. A detailed analysis of the behavior of the solution as the debt-ratio-income tends to infinity is provided.
Hamilton Jacobi equations, Viscosity solutions, Deterministic optimal debt management, Equilibrium solutions
File in questo prodotto:
File Dimensione Formato  
2. HJ-Debt-AN-R.pdf

embargo fino al 01/07/2023

Tipologia: Documento in Pre-print
Licenza: Accesso ristretto
Dimensione 432.47 kB
Formato Adobe PDF
432.47 kB Adobe PDF   Visualizza/Apri   Richiedi una copia

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11562/1068826
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus ND
  • ???jsp.display-item.citation.isi??? ND
social impact