On Stochastic Optimization Problems and an Application in Finance

By Josef Anton Strini

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.

• Format: Paperback
• Language: English
• ISBN: 3658256907
• ISBN13: 9783658256906
• Release Date: March 2019
• Publisher: Springer Spektrum
• Length: 106 Pages
• Weight: 0.33 lbs.
• Dimensions: 0.3" x 5.8" x 8.3"