Solving nonlinear matrix equation in credit risk by using iterative methods

MaRDI QIDQ3145669zbMATH OpenFDO

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

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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