The vanishing viscosity limit for a system of H-J equations related to a debt management problem
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Publication:1713262
DOI10.3934/dcdss.2018050zbMath1471.91630OpenAlexW2805199758MaRDI QIDQ1713262
Publication date: 24 January 2019
Published in: Discrete and Continuous Dynamical Systems. Series S (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/dcdss.2018050
viscosity solutionsmall noise limitnon-cooperative differential gamesHamilton-Jacoby equationsdynamic model of debt management and bankruptcy
Noncooperative games (91A10) Differential games and control (49N70) Differential games (aspects of game theory) (91A23) Applications of game theory (91A80) Financial applications of other theories (91G80) Actuarial science and mathematical finance (91G99)
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A system of first order Hamilton-Jacobi equations related to an optimal debt management problem ⋮ A model of debt with bankruptcy risk and currency devaluation
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