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- On Stochastic Optimization Problems and an Application in Finance
On Stochastic Optimization Problems and an Application in Finance
Angebote / Angebote:
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 ProcessesA Singular Stochastic Control ProblemDynamic Programming Approach and Consequences
Target Groups
Researchers and students in the fields of mathematics, probability theory and applied mathematics in financial and actuarial industryMathematicians from the financial and actuarial industry
The AuthorJosef 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.
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