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On Stochastic Optimization Problems and an Application in Finance

On Stochastic Optimization Problems and an Application in Finance

Josef Anton Strini

68,07 €
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Editorial:
Springer Nature B.V.
Año de edición:
2019
Materia
Finanzas
ISBN:
9783658256906
68,07 €
IVA incluido
Disponible

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Sobre IBD

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.

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