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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. 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.
Release date Australia
March 19th, 2019
Audience
  • Professional & Vocational
Edition
1st ed. 2019
Illustrations
1 Illustrations, black and white; IX, 106 p. 1 illus.
Pages
106
ISBN-13
9783658256906
Product ID
29779698

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