On Stochastic Optimization Problems and an Application in Finance

von Josef Anton Strini

106 Seiten, Taschenbuch

Kurzbeschreibung des Verlags

Josef Anton Strini analyzes a special stochastic optimal control problem. The problem under study arose from a dynamic cash management model in finance, where decisions about the dividend and financing policies of a firm have to be made. Additionally, using the dynamic programming approach, he extends the present discourse by the formal derivation of the Hamilton-Jacobi-Bellman equation and by examining the verification step carefully. Finally, the treatment is completed by solving the problem numerically.

• Reihe: BestMasters
• ISBN: 9783658256906
• Sprache: Englisch
• Erscheinungsdatum: 19.03.2019
• Genre: Mathematik/Wahrscheinlichkeitstheorie, Stochastik, Mathematische Statistik
• Verlag: Springer Fachmedien Wiesbaden GmbH