On Stochastic Optimization Problems and an Application in Finance - Brossura

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Strini, Josef Anton

 
9783658256906: On Stochastic Optimization Problems and an Application in Finance
Brossura
ISBN 10: 3658256907 ISBN 13: 9783658256906
Casa editrice: Springer Spektrum, 2019

Sinossi

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.


Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.

Informazioni sull?autore

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.

Dalla quarta di copertina

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

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.

Le informazioni nella sezione "Su questo libro" possono far riferimento a edizioni diverse di questo titolo.

Editore
Springer Spektrum
Data di pubblicazione
2019
Lingua
Inglese
ISBN 10 
3658256907
ISBN 13 
9783658256906
Rilegatura
Copertina flessibile
Numero edizione
1
Numero di pagine
116
Contatto del produttore
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