Approaches to numerical analysis of optimal control with linear phase constraints on the example of the assets and liabilities management by a bank-Reference-Cited by-同舟云学术

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Approaches to numerical analysis of optimal control with linear phase constraints on the example of the assets and liabilities management by a bank

Published:2025-01 Issue: Volume:453 Page:116130
ISSN:0377-0427
Container-title:Journal of Computational and Applied Mathematics
language:en
Short-container-title:Journal of Computational and Applied Mathematics

Author:

Zhukova Aleksandra^ORCID,Flerova Anna,Chernov Alexey,Milyuchikhin Georgy

Publisher

Elsevier BV

Reference24 articles.

1. Model of optimal behavior of the modern Russian banking system;Pilnik;Econ. J. HSE,2018

2. Mathematical modeling of investments in an imperfect capital market;Shananin;Proc. Steklov Inst. Math.,2021

3. Optimization of asset and liability management of banks with minimum possible changes;Peykani;Mathematics,2023

4. Dynamic asset–liability management problem in a continuous-time model with delay;Chunxiang;Int. J. Control,2022

5. Optimal asset–liability management with liquidity constraints and stochastic interest rates in the expected utility framework;Pan;J. Comput. Appl. Math.,2017

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