Optimal Control of Debt-to-GDP Ratio in an $N$-State Regime Switching Economy

DOI10.1137/19M1245049zbMath1435.91122arXiv1808.01499OpenAlexW3012521331MaRDI QIDQ5220413

Giorgio Ferrari, Neofytos Rodosthenous

Publication date: 20 March 2020

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1808.01499

zbMATH Keywords

regime switchingsingular stochastic controlfree-boundary problemdebt-to-GDP ratiozero-sum optimal stopping game

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Continuous-time Markov processes on discrete state spaces (60J27)

Related Items (6)

A survey of numerical solutions for stochastic control problems: some recent progress ⋮ A stochastic control approach to public debt management ⋮ A mixed singular/switching control problem with terminal cost for modulated diffusion processes ⋮ Optimal reduction of public debt under partial observation of the economic growth ⋮ On a class of non-zero-sum stochastic differential dividend games with regime switching ⋮ Optimal stopping games in models with various information flows

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