On Stochastic Optimization Problems and an Application in Finance (BestMasters) - Softcover

Book 72 of 91: BestMasters

Strini, Josef Anton

 
9783658256906: On Stochastic Optimization Problems and an Application in Finance (BestMasters)
Softcover
ISBN 10: 3658256907 ISBN 13: 9783658256906
Publisher: Springer Spektrum, 2019

Synopsis

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.


"synopsis" may belong to another edition of this title.

About the Author

Josef Anton Strini wrote his master’s thesis under the supervision of Prof. Dr. Stefan Thonhauser at the Institute of Statistics at Graz University of Technology, Austria.

From the Back Cover

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.

Contents

  • Optimal Control of Markov Processes
  • A Singular Stochastic Control Problem
  • Dynamic Programming Approach and Consequences

Target Groups

  • Researchers and students in the fields of mathematics, probability theory and applied mathematics in financial and actuarial industry
  • Mathematicians from the financial and actuarial industry

TheAuthor
Josef Anton Strini wrote his master’s thesis under the supervision of Prof. Dr. Stefan Thonhauser at the Institute of Statistics at Graz University of Technology, Austria.

"About this title" may belong to another edition of this title.

Publisher
Springer Spektrum
Publication date
2019
Language
English
ISBN 10 
3658256907
ISBN 13 
9783658256906
Binding
Paperback
Edition number
1
Number of pages
115