4 papers · 1 filter
Solutions to a system of first order H-J equations related to a debt management problem
Antonio Marigonda, Khai T. Nguyen
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…
Attainability property for a probabilistic target in Wasserstein spaces
Giulia Cavagnari, Antonio Marigonda
In this paper we establish an attainability result for the minimum time function of a control problem in the space of probability measures endowed with Wasserstein distance. The dy…
Generalized Dynamic Programming Principle and Sparse Mean-Field Control Problems
Giulia Cavagnari, Antonio Marigonda, Benedetto Piccoli
In this paper we study optimal control problems in Wasserstein spaces, which are suitable to describe macroscopic dynamics of multi-particle systems. The dynamics is described by a…
A Debt Management Problem with Currency Devaluation
Antonio Marigonda, Khai T. Nguyen
We consider a model of debt management, where a sovereign state trade some bonds to service the debt with a pool of risk-neutral competitive foreign investors. At each time, the go…