On Stochastic Optimization Problems and an Application in Finance

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.

List of contents

Optimal Control of Markov Processes.- A Singular Stochastic Control Problem.- Dynamic Programming Approach and Consequences.

Summary

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.

Product details

• Authors: Josef Anton Strini
• Publisher: Springer, Berlin
• Languages: English
• Product format: Paperback / Softback
• Released: 19.03.2019
• EAN: 9783658256906
• ISBN: 978-3-658-25690-6
• No. of pages: 106
• Dimensions: 150 mm x 212 mm x 8 mm
• Weight: 168 g
• Illustrations: IX, 106 p. 1 illus.
• Series: BestMasters
• Subjects: Natural sciences, medicine, IT, technology > Mathematics > Probability theory, stochastic theory, mathematical statistics; C, Finance, Finance, general, Mathematics and Statistics, Probability Theory and Stochastic Processes, Probabilities, Stochastics, Probability Theory, Applied mathematics, Financial Mathematics, Finance—Mathematics, Mathematics in Business, Economics and Finance