Numerical analysis of the model of optimal savings and borrowing

DOI10.1007/978-3-031-22543-7_12zbMath1521.49022OpenAlexW4313407133MaRDI QIDQ6169119

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Publication date: 10 August 2023

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

Full work available at URL: https://doi.org/10.1007/978-3-031-22543-7_12

zbMATH Keywords

optimal controlNewton's methodfunctional equationstochastic process

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Newton-type methods (49M15) Optimality conditions for problems involving randomness (49K45)

Cites Work

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• On the limited memory BFGS method for large scale optimization
• Numerical solution of dynamic equilibrium models under Poisson uncertainty
• Some Solvable Stochastic Control Problems With Delay
• Maximum Principles for Optimal Control of Forward-Backward Stochastic Differential Equations with Jumps
• An Algorithm for Least-Squares Estimation of Nonlinear Parameters
• A Nonmonotone Line Search Technique for Newton’s Method
• Numerical Analysis of the Model of Optimal Consumption and Borrowing with Random Time Scale
• Book Reviews