American Journal of Modeling and Optimization
ISSN (Print): 2333-1143 ISSN (Online): 2333-1267 Website: http://www.sciepub.com/journal/ajmo Editor-in-chief: Dr Anil Kumar Gupta
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American Journal of Modeling and Optimization. 2017, 5(1), 1-11
DOI: 10.12691/ajmo-5-1-1
Open AccessArticle

Optimal Control of a Continuous-in-time Financial Model

Emmanuel Fr¨¦nod1, Pierre M¨¦nard1 and Mohamad Safa1,

1University Bretagne-Sud, UMR 6205, LMBA, F-56000 Vannes, France

Pub. Date: January 23, 2017

Cite this paper:
Emmanuel Fr¨¦nod, Pierre M¨¦nard and Mohamad Safa. Optimal Control of a Continuous-in-time Financial Model. American Journal of Modeling and Optimization. 2017; 5(1):1-11. doi: 10.12691/ajmo-5-1-1

Abstract

The achievement of a project requires tools to monitor and adjust its evolution over time. Rather than to check at mid-term whether the objectives will be achieved or not, and adjust them, it is interesting to develop a control tool in order to effectively conduct the project¡¯s objectives. In this paper, we improve the continuous-in-time financial model developed in previous work, that describes working of loan and repayment, in order to prepare its capability to be used in control theory approach. The aim is to determine the optimal loan schedule taking into account the objective of the project, the income and the spending. For that, we set out an optimal control method for the strategy elaboration phase to better adjust the project implementation.

Keywords:
financial modeling optimal control optimization

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