On Stochastic Optimization Problems and an Application in Finance

Josef Anton Strini

ISBN 10: 3658256907 / ISBN 13: 9783658256906

Published by Springer Fachmedien Wiesbaden, 2019

About this Item

Druck auf Anfrage Neuware - Printed after ordering - 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.

Seller Inventory # 9783658256906

Bibliographic Details

• Title: On Stochastic Optimization Problems and an Application in Finance
• Publisher: Springer Fachmedien Wiesbaden
• Publication Date: 2019
• Language: English
• ISBN 10: 3658256907
• ISBN 13: 9783658256906
• Binding: Taschenbuch
• Condition: Neu
• Dimensions: 210W x 148H x 7D millimeters 210 millimeters width by 148 millimeters height by 7 millimeters depth
• Weight: 162 grams

About this title

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.

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.