scientific article; zbMATH DE number 5519396

MaRDI QIDQ3606318zbMATH OpenFDO

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

Publication date 26 February 2009

zbMATH Keywords

Brownian motionstochastic optimal controlmatrix Riccati differential equationportfolio of banking loanssuccessive approximation of Picard

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic models in economics (91B70) Financial applications of other theories (91G80) Control/observation systems governed by ordinary differential equations (93C15) Optimal stochastic control (93E20)

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• scientific article; zbMATH DE number 5896874 (Why is no real title available?)

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