Application of optimization methods in solving the problem of optimal control of assets and liabilities by a bank
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Publication:6588749
DOI10.1007/978-3-031-47859-8_17zbMATH Open1546.91276MaRDI QIDQ6588749
Author name not available (Why is that?), Aleksandra Zhukova, Alexey Chernov
Publication date: 16 August 2024
Applications of optimal control and differential games (49N90) Actuarial science and mathematical finance (91G99)
Cites Work
- Title not available (Why is that?)
- On a few questions regarding the study of state-constrained problems in optimal control
- The model of the Russian banking system with indicators nominated in rubles and in foreign currency
- Mathematical modeling of investments in an imperfect capital market
- Mathematical modeling of household economy in Russia
- Regular path-constrained time-optimal control problems in three-dimensional flow fields
- A survey on regularity conditions for state-constrained optimal control problems and the non-degenerate maximum principle
- Random gradient-free minimization of convex functions
- A Simplex Method for Function Minimization
- An Indirect Method for Regular State-Constrained Optimal Control Problems in Flow Fields
- Dynamic asset-liability management problem in a continuous-time model with delay
- Numerical analysis of the model of optimal savings and borrowing
Related Items (2)
On regularity conditions in higher-order state-constrained control problems ⋮ Approaches to numerical analysis of optimal control with linear phase constraints on the example of the assets and liabilities management by a bank
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