Optimal open-loop strategies in a debt management problem

DOI10.1142/S0219530517500038zbMath1379.49001WikidataQ59263722 ScholiaQ59263722MaRDI QIDQ4594825

Alberto Bressan, Yilun Jiang

Publication date: 24 November 2017

Published in: Analysis and Applications (Search for Journal in Brave)

zbMATH Keywords

optimal controlnecessary conditionsinfinite time horizondebt managementopen-loop strategiesbankruptcy risk

Mathematics Subject Classification ID

Applications of optimal control and differential games (49N90) Macroeconomic theory (monetary models, models of taxation) (91B64) Existence theories for optimal control problems involving ordinary differential equations (49J15) Optimality conditions for problems involving ordinary differential equations (49K15)

Related Items (2)

A Stochastic Model of Optimal Debt Management and Bankruptcy ⋮ The vanishing viscosity limit for a system of H-J equations related to a debt management problem

Cites Work

• Noncooperative differential games
• The Pontryagin maximum principle for nonlinear optimal control problems with infinite horizon
• An equilibrium model of debt and bankruptcy
• Necessary Conditions for Optimal Control Problems with Infinite Horizons
• A Stochastic Model of Optimal Debt Management and Bankruptcy
• The Pontryagin Maximum Principle and Transversality Conditions for a Class of Optimal Control Problems with Infinite Time Horizons
• Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations
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