On Stochastic Optimization Problems and an Application in Finance

Name: On Stochastic Optimization Problems and an Application in Finance
Brand: Springer Fachmedien Wiesbaden
SKU: 9783658256906
Price: 50.13 EUR
Availability: InStock

Autor: Josef Anton Strini

Jazyk:

Väzba: Brožovaná

Vydavateľ: Springer Fachmedien Wiesbaden

Dostupnosť: Skladom u dodávateľa

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Josef Anton Strini analyzes a special stochastic optimal control problem. The problem under study ar...

Informácie o knihe

Autor

Josef Anton Strini

Jazyk

Angličtina

Väzba

Kniha - Brožovaná

Vydalo

2019

Stránok

106

EAN

9783658256906

Enbook ID

21376528

Vydavateľ

Springer Fachmedien Wiesbaden

Hmotnosť

163

Rozmery

148 x 210 x 7

Kompletný popis

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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On Stochastic Optimization Problems and an Application in Finance

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