On Stochastic Optimization Problems and an Application in Finance - Couverture souple

Strini, Josef Anton

Couverture souple

ISBN 10 : 3658256907 ISBN 13 : 9783658256906

Editeur : 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.

A propos du livre

À propos de l'auteur

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.

Détails de l'édition

• Éditeur: Springer Spektrum
• Date d'édition: 2019
• Langue: anglais
• ISBN 10: 3658256907
• ISBN 13: 9783658256906
• Reliure: Broché
• Nombre de pages: 116
• Coordonnées du fabricant: ProductSafety@springernature.com; ProductSafety@springernature.com; ; Tiergartenstr. 17; Heidelberg; 69121; Allemagne