scientific article; zbMATH DE number 5519396

zbMATH Open1157.93044MaRDI QIDQ3606318FDOQ3606318

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

Publication date: 26 February 2009

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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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