Approaches to numerical analysis of optimal control with linear phase constraints on the example of the assets and liabilities management by a bank
Publication:6591519
DOI10.1016/J.CAM.2024.116130MaRDI QIDQ6591519FDOQ6591519
Georgy Milyuchikhin, Author name not available (Why is that?), A. V. Chernov, Aleksandra Zhukova
Publication date: 22 August 2024
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Numerical analysis (65-XX) Mathematical economics (91Bxx) Existence theories in calculus of variations and optimal control (49Jxx) Operations research, mathematical programming (90-XX) Optimality conditions (49Kxx)
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- Dynamic asset-liability management problem in a continuous-time model with delay
- Application of optimization methods in solving the problem of optimal control of assets and liabilities by a bank
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