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math.CA2021
Diffusion Approximations of Markovian Solutions to Discontinuous ODEs
Alberto Bressan, Marco Mazzola, Khai T. Nguyen
In a companion paper, the authors have characterized all deterministic semigroups, and all Markov semigroups, whose trajectories are Carathe'odory solutions to a given ODE x'=f(x),…
math.OC2021
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…