On Stochastic Optimization Problems and an Application in Finance (BestMasters) - Tapa blanda

Libro 72 de 91: BestMasters

Strini, Josef Anton

 
9783658256906: On Stochastic Optimization Problems and an Application in Finance (BestMasters)
Tapa blanda
ISBN 10: 3658256907 ISBN 13: 9783658256906
Editorial: Springer Spektrum, 2019

Sinopsis

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.


"Sinopsis" puede pertenecer a otra edición de este libro.

Acerca del autor

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.

De la contraportada

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.

Contents

  • Optimal Control of Markov Processes
  • A Singular Stochastic Control Problem
  • Dynamic Programming Approach and Consequences

Target Groups

  • Researchers and students in the fields of mathematics, probability theory and applied mathematics in financial and actuarial industry
  • Mathematicians from the financial and actuarial industry

The Author
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.

"Sobre este título" puede pertenecer a otra edición de este libro.

Editorial
Springer Spektrum
Año de publicación
2019
Idioma
Inglés
ISBN 10 
3658256907
ISBN 13 
9783658256906
Encuadernación
Tapa blanda
Número de edición
1
Número de páginas
116
Contacto del fabricante
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