scientific article; zbMATH DE number 5896874

MaRDI QIDQ3000221zbMATH OpenFDO

Authors Athanasios A. Pantelous, Grigoris I. Kalogeropoulos, Alexandros A. Zimbidis

Publication date 18 May 2011

zbMATH Keywords

Brownian motionmatrix Riccati differential equationlending rate policylinear stochastic optimal control

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Credit risk (91G40) Optimal stochastic control (93E20)

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(8)

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