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Josef Anton Strini
On Stochastic Optimization Problems and an Application in Finance
1st ed. 2019. 2019. ix, 106 S. 1 SW-Abb., 4 Farbtabellen. 210 mm
Verlag/Jahr: SPRINGER, BERLIN; SPRINGER FACHMEDIEN WIESBADEN 2019
ISBN: 3-658-25690-7 (3658256907)
Neue ISBN: 978-3-658-25690-6 (9783658256906)
Preis und Lieferzeit: Bitte klicken
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.
Optimal Control of Markov Processes.- A Singular Stochastic Control Problem.- Dynamic Programming Approach and Consequences.
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.