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arXiv · 2102.03884

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

Antonio Marigonda·Khai T. Nguyen
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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.

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Antonio Marigonda, Khai T. Nguyen. 2021-02-07. Solutions to a system of first order H-J equations related to a debt management problem. https://arxiv.org/abs/2102.03884

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