Solving nonlinear matrix equation in credit risk by using iterative methods

zbMATH Open1254.91746MaRDI QIDQ3145669FDOQ3145669

Authors: Gholamreza Farsadamanollahi, Jan Muhammad, Amir Sadeghi 

Publication date: 21 December 2012

Full work available at URL: http://www.m-hikari.com/ijcms/ijcms-2012/37-40-2012/index.html

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zbMATH Keywords

Markov chainKronecker productNewton's iterationnonlinear matrix equationleasingdefault credit riskvector operator and Schur decomposition

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Probabilistic models, generic numerical methods in probability and statistics (65C20) Credit risk (91G40) Matrix equations and identities (15A24)

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