Bank management via stochastic optimal control
From MaRDI portal
Publication:2507935
DOI10.1016/J.AUTOMATICA.2006.03.012zbMath1108.93079OpenAlexW2067091303MaRDI QIDQ2507935
Janine Mukuddem-Petersen, Mark Adam Petersen
Publication date: 5 October 2006
Published in: Automatica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.automatica.2006.03.012
Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Financial applications of other theories (91G80)
Related Items (11)
An application of dynamic programming principle in corporate international optimal investment and consumption choice problem ⋮ Optimizing asset and capital adequacy management in banking ⋮ Capital adequacy and risk management in banking industry ⋮ Stochastic differential game in high frequency market ⋮ Maximizing banking profit on a random time interval ⋮ Minimizing banking risk in a Lévy process setting ⋮ Temporal deep unfolding for constrained nonlinear stochastic optimal control ⋮ Bank valuation and its connections with the subprime mortgage crisis and basel II capital accord ⋮ An optimal investment strategy in bank management ⋮ Did bank capital regulation exacerbate the subprime mortgage crisis? ⋮ An optimal investment strategy and multiperiod deposit insurance pricing model for commercial banks
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Transversality condition and optimality in a class of infinite horizon continuous time economic models
- On a sufficient transversality condition for infinite horizon optimal control problems
- Necessity of transversality conditions for stochastic problems.
- STOCHASTIC APPROACH TO DIVIDEND EQUALIZATION FUND MODELLING AND SOLVENCY
- Continuous-time stochastic modelling of capital adequacy ratios for banks
- Necessity of Transversality Conditions for Infinite Horizon Problems
This page was built for publication: Bank management via stochastic optimal control
