scientific article; zbMATH DE number 5896874

zbMATH Open1216.91036MaRDI QIDQ3000221FDOQ3000221

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

Publication date: 18 May 2011

Title of this publication is not available (Why is that?)

Recommendations

• scientific article
• scientific article; zbMATH DE number 2151335
• Financing policies via stochastic control: a dynamic programming approach
• A stochastic monetary policy interest rate model
• A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates
• scientific article; zbMATH DE number 7564006
• Interbank lending with benchmark rates: Pareto optima for a class of singular control games
• An Application of Stochastic Control Theory to Financial Economics
• Dynamic bank portfolio hedging of investment and loan repayment risk within a stochastic continuous framework using optimal control theory
• A stochastic control approach to public debt management

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)

Cited In (6)

• Decision analysis on upper and lower bounds of optimal loan qualities for financial institution
• Title not available (Why is that?)
• Risk control of bank loans under marketization of interest rate
• Optimal lending under strategic acquisition and capital regulation: an option-based optimization
• The control of bank's capital by changing of percent rates
• Stochastic optimality in the portfolio tracking problem involving investor's temporal preferences

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3000221)