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Doklady Rossijskoj Akademii Nauk. Mathematika, Informatika, Processy Upravlenia, 2022, Volume 507, Pages 71–80
DOI: https://doi.org/10.31857/S2686954322600525 (Mi danma322) 		 
This article is cited in 3 scientific papers (total in 3 papers)

MATHEMATICS

Mathematical modeling of the consumer loan market in Russia under sanctions

N. V. Trusovabcd, A. A. Shananinabced

a Federal Research Center "Computer Science and Control" of Russian Academy of Sciences, Moscow, Russia
b Moscow Institute of Physics and Technology (National Research University), Dolgoprudnyi, Moscow oblast, Russia
c Lomonosov Moscow State University
d Moscow Center for Fundamental and Applied Mathematics, Moscow, Russia
e Peoples’ Friendship University of Russia (RUDN University), Moscow, Russia
Citations (3)
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DOI: https://doi.org/10.31857/S2686954322600525
Abstract: The article develops and investigates a new model for the formation of interest rates on consumer loans based on an analysis of commercial interests and the logic of behavior of commercial banks. The model assumes that the borrowers’ incomes are described by a geometric Brownian motion. Commercial banks assess the default risk of borrowers. According to the Feynman–Kac formula, the assessment is reduced to solving a boundary value problem for partial differential equations. An analytical solution to this problem is constructed. The model is used to analyze the problem of maintaining consumer credit under the current conditions as a mechanism for social adaptation of households.
Keywords: Ramsey model, consumer loan, Feynman–Kac formula, mathematical modeling.
Funding agency Grant number
Russian Foundation for Basic Research 20-07-00285
This work was supported by the Russian Foundation for Basic Research, grant no. 20-07-00285.
Received: 18.10.2022
Revised: 22.10.2022
Accepted: 08.11.2022
English version:
Doklady Mathematics, 2022, Volume 106, Issue 3, Pages 467–474
DOI: https://doi.org/10.1134/S1064562422700119
Bibliographic databases:
Document Type: Article
UDC: 005.5
Language: Russian
Citation: N. V. Trusov, A. A. Shananin, “Mathematical modeling of the consumer loan market in Russia under sanctions”, Dokl. RAN. Math. Inf. Proc. Upr., 507 (2022), 71–80; Dokl. Math., 106:3 (2022), 467–474
Citation in format AMSBIB
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\paper Mathematical modeling of the consumer loan market in Russia under sanctions
\jour Dokl. RAN. Math. Inf. Proc. Upr.
\yr 2022
\vol 507
\pages 71--80
\mathnet{http://mi.mathnet.ru/danma322}
\crossref{https://doi.org/10.31857/S2686954322600525}
\elib{https://elibrary.ru/item.asp?id=49991288}
\transl
\jour Dokl. Math.
\yr 2022
\vol 106
\issue 3
\pages 467--474
\crossref{https://doi.org/10.1134/S1064562422700119}
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    • This publication is cited in the following 3 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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