On Stochastic Optimization Problems and an Application in Finance
On Stochastic Optimization Problems and an Application in Finance
Brand
Springer Nature
Manufacturer
N/A
Part Number
0
GTIN
9783658256906
Condition
New
Product 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.
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