Zobrazeno 1 - 6
of 6
pro vyhledávání: '"Grant E. Muller"'
Autor:
Grant E. Muller
Publikováno v:
Journal of Applied Mathematics, Vol 2018 (2018)
We employ the method of stochastic optimal control to derive the optimal investment strategy for maximizing an expected exponential utility of a commercial bank’s capital at some future date T>0. In addition, we derive a multiperiod deposit insuran
Externí odkaz:
https://doaj.org/article/8592344784a44d25b2d36987d5dbcc14
Autor:
Grant E. Muller, Peter J. Witbooi
Publikováno v:
Journal of Applied Mathematics, Vol 2014 (2014)
We model a Basel III compliant commercial bank that operates in a financial market consisting of a treasury security, a marketable security, and a loan and we regard the interest rate in the market as being stochastic. We find the investment strategy
Externí odkaz:
https://doaj.org/article/3864384b050a42a39f6e40e4c6cfe0fc
Autor:
Grant E. Muller
Publikováno v:
Mathematical Methods in the Applied Sciences. 43:4995-5009
Autor:
Marshall B. Ongansie, Peter J. Witbooi, Kazeem Oare Okosun, Ibrahim H. I. Ahmed, Grant E. Muller
Publikováno v:
Discrete & Continuous Dynamical Systems - S. 15:441
A cholera population model with stochastic transmission and stochasticity on the environmental reservoir of the cholera bacteria is presented. It is shown that solutions are well-behaved. In comparison with the underlying deterministic model, the sto
Publikováno v:
Mathematical Methods in the Applied Sciences. 34:1606-1617
This paper considers the application of stochastic optimization theory to asset and capital adequacy management in banking. The Basel II Capital Accord lays down regulations to control bank behaviour, and relies on regulatory ratios such as the capit
Publikováno v:
Computational and Mathematical Methods in Medicine
Computational and Mathematical Methods in Medicine, Vol 2015 (2015)
Computational and Mathematical Methods in Medicine, Vol 2015 (2015)
For a stochastic differential equation SVIR epidemic model with vaccination, we prove almost sure exponential stability of the disease-free equilibrium forR0<1, whereR0denotes the basic reproduction number of the underlying deterministic model. We st