On Stochastic Optimization Problems and an Application in Finance

Josef Anton Strini

ISBN 10: 3658256907 / ISBN 13: 9783658256906

Published by Springer Gabler, 2019

About this Item

On Stochastic Optimization Problems and an Application in Finance | Josef Anton Strini | Taschenbuch | BestMasters | ix | Englisch | 2019 | Springer Gabler | EAN 9783658256906 | Verantwortliche Person für die EU: Springer Spektrum in Springer Science + Business Media, Tiergartenstr. 15-17, 69121 Heidelberg, juergen[dot]hartmann[at]springer[dot]com | Anbieter: preigu.

Seller Inventory # 115449498

Bibliographic Details

• Title: On Stochastic Optimization Problems and an Application in Finance
• Publisher: Springer Gabler
• 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
• Seller catalogs:
  • Bücher

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.