On Stochastic Optimization Problems and an Application in Finance
by Josef Anton Strini
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Opis książki
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.
Szczegóły książki
Autor
Josef Anton Strini
Wydawnictwo
Springer Fachmedien Wiesbaden
Rok wydania
2019
ISBN
9783658256913
Dostępne formaty
eBook (PDF, EPUB)
Audiobook (MP3)
Język
Polski