Application of optimization methods in solving the problem of optimal control of assets and liabilities by a bank

DOI10.1007/978-3-031-47859-8_17zbMATH Open1546.91276MaRDI QIDQ6588749FDOQ6588749

Author name not available (Why is that?), Aleksandra Zhukova, Alexey Chernov

Publication date: 16 August 2024

zbMATH Keywords

optimal controlgradient descentasset and liability management

Mathematics Subject Classification ID

Applications of optimal control and differential games (49N90) Actuarial science and mathematical finance (91G99)

Cites Work

• Title not available (Why is that?)
• A Simplex Method for Function Minimization
• Random gradient-free minimization of convex functions
• On a few questions regarding the study of state-constrained problems in optimal control
• The model of the Russian banking system with indicators nominated in rubles and in foreign currency
• Mathematical modeling of investments in an imperfect capital market
• Mathematical modeling of household economy in Russia
• Regular path-constrained time-optimal control problems in three-dimensional flow fields
• A survey on regularity conditions for state-constrained optimal control problems and the non-degenerate maximum principle
• An Indirect Method for Regular State-Constrained Optimal Control Problems in Flow Fields
• Dynamic asset-liability management problem in a continuous-time model with delay
• Numerical analysis of the model of optimal savings and borrowing

Cited In (2)

• Approaches to numerical analysis of optimal control with linear phase constraints on the example of the assets and liabilities management by a bank
• On regularity conditions in higher-order state-constrained control problems

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