On Stochastic Optimization Problems and an Application in Finance - Josef Anton Strini

On Stochastic Optimization Problems and an Application in Finance

Buch | Softcover
IX, 106 Seiten
2019 | 1st ed. 2019
Springer Fachmedien Wiesbaden GmbH (Verlag)
978-3-658-25690-6 (ISBN)
58,84 inkl. MwSt
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.


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.

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


Erscheinungsdatum
Reihe/Serie BestMasters
Zusatzinfo IX, 106 p. 1 illus.
Verlagsort Wiesbaden
Sprache englisch
Maße 148 x 210 mm
Gewicht 163 g
Themenwelt Mathematik / Informatik Mathematik Wahrscheinlichkeit / Kombinatorik
Wirtschaft Betriebswirtschaft / Management Finanzierung
Schlagworte actuarial mathematics • applied probability • Dividend Consumption Problem • mathematical finance • Stochastic Optimal Control
ISBN-10 3-658-25690-7 / 3658256907
ISBN-13 978-3-658-25690-6 / 9783658256906
Zustand Neuware
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