2021/02/07 by Antonio Marigonda, Marigonda, Antonio, Khai T. Nguyen +1
Mathematics · #Analysis of PDEs (math.AP) #FOS: Mathematics #Optimization and Control (math.OC) #math.AP #math.OC
paper · pdf · doi:10.48550/arxiv.2102.03884
35. arXiv admin note: substantial text overlap with arXiv:1805.05043
arxiv created 2021/02/07 · arxiv updated 2021/02/09
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^*→ +∞ is also provided.