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.

Sommario

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

Riassunto

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.

Dettagli sul prodotto

• Autori: Josef Anton Strini
• Editore: Springer, Berlin
• Lingue: Inglese
• Formato: Tascabile
• Pubblicazione: 19.03.2019
• EAN: 9783658256906
• ISBN: 978-3-658-25690-6
• Pagine: 106
• Dimensioni: 150 mm x 212 mm x 8 mm
• Peso: 168 g
• Illustrazioni: IX, 106 p. 1 illus.
• Serie: BestMasters
• Categorie: Scienze naturali, medicina, informatica, tecnica > Matematica > Teoria delle probabilità, stocastica, statistica matematica; 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