Optimal payments to connected depositors in turbulent times: a Markov chain approach

DOI10.1155/2018/9434608zbMath1390.93866OpenAlexW3124026670MaRDI QIDQ1649540

Dávid Csercsik, Hubert János Kiss

Publication date: 6 July 2018

Published in: Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2018/9434608

zbMATH Keywords

Markov chaindepositor behaviordiscrete time probabilistic modelnonlinear optimization problem with nonlinear constraints

Mathematics Subject Classification ID

Nonlinear systems in control theory (93C10) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Optimal stochastic control (93E20) Portfolio theory (91G10)

Uses Software

• NLopt
• OPTI

Cites Work

• Implementing efficient allocations in a model of financial intermediation
• Bank Runs, Deposit Insurance, and Liquidity

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