Numerical analysis of the model of optimal savings and borrowing

DOI10.1007/978-3-031-22543-7_12MaRDI QIDQ6169119zbMATH OpenOpenAlexFDO

Authors

Publication date 10 August 2023

Published in Optimization and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-031-22543-7_12

zbMATH Keywords

functional equationNewton's methodoptimal controlstochastic process

Mathematics Subject Classification ID

Optimality conditions for problems involving randomness (49K45) Newton-type methods (49M15) Applications of mathematical programming (90C90)

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Cites work

• A Nonmonotone Line Search Technique for Newton’s Method
• An Algorithm for Least-Squares Estimation of Nonlinear Parameters
• Book review of: L. Gawarecki and V. Mandrekar, Stochastic differential equations in infinite dimensions with applications to stochastic partial differential equations
• scientific article; zbMATH DE number 3121939 (Why is no real title available?)
• Maximum principles for optimal control of forward-backward stochastic differential equations with jumps
• Numerical Analysis of the Model of Optimal Consumption and Borrowing with Random Time Scale
• Numerical solution of dynamic equilibrium models under Poisson uncertainty
• On the limited memory BFGS method for large scale optimization
• Some Solvable Stochastic Control Problems With Delay

Cited in

(4)

• An application of the double Skorokhod formula
• Weiterführende Untersuchungen zum dynamischen Beharrungszustand des Bausparens
• An optimal control problem for borrowing
• Application of optimization methods in solving the problem of optimal control of assets and liabilities by a bank

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