On Stochastic Optimization Problems and an Application in Finance by Josef Anton

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

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Description 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.

Publisher Description

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.

Author Biography

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.

Details ISBN 3658256907 ISBN-13 9783658256906 Title On Stochastic Optimization Problems and an Application in Finance Author Josef Anton Strini Format Paperback Year 2019 Pages 106 Edition 1st Publisher Springer Fachmedien Wiesbaden GE_Item_ID:140277120; About Us

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