BestMasters

On Stochastic Optimization Problems and an Application in Finance

Authors: Strini, Josef

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  • Publication in the field of mathematics

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About this book

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.


About the authors

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.

Table of contents (3 chapters)

Table of contents (3 chapters)

Buy this book

eBook $54.99
price for USA (gross)
  • ISBN 978-3-658-25691-3
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $69.99
price for USA
  • ISBN 978-3-658-25690-6
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.

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Bibliographic Information

Bibliographic Information
Book Title
On Stochastic Optimization Problems and an Application in Finance
Authors
Series Title
BestMasters
Copyright
2019
Publisher
Springer Spektrum
Copyright Holder
Springer Fachmedien Wiesbaden GmbH, part of Springer Nature
eBook ISBN
978-3-658-25691-3
DOI
10.1007/978-3-658-25691-3
Softcover ISBN
978-3-658-25690-6
Series ISSN
2625-3577
Edition Number
1
Number of Pages
IX, 106
Number of Illustrations
1 b/w illustrations
Topics