On Stochastic Optimization Problems And An Application In Finance (Bestmasters)

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.

• | Author: Josef Anton Strini
• | Publisher: Springer Spektrum
• | Publication Date: Mar 19, 2019
• | Number of Pages: 115 pages
• | Language: English
• | Binding: Paperback
• | ISBN-10: 3658256907
• | ISBN-13: 9783658256906