The vanishing viscosity limit for a system of H-J equations related to a debt management problem (Q1713262)

The article first derives a dynamic model of debt management and bankruptcy, and formulates an associated non-cooperative differential game wherein repayment rate and price are viewed as decision variables. This leads to a system of Hamilton-Jacobi equations. By considering a system with noise, the resulting system of Hamilton-Jacobi equations is shown to have a classical solution and any limit point of such solutions as the noise decreases to zero is shown to be a viscosity solution of the Hamilton-Jacobi systaem corresponding to the original problm.