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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, Josef Anton Strini
- Language
- Released
- 2019
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- Title
- On stochastic optimization problems and an application in finance
- Language
- English
- Authors
- Josef Anton Strini
- Publisher
- Springer Spektrum
- Publisher
- 2019
- ISBN10
- 3658256907
- ISBN13
- 9783658256906
- Series
- BestMasters
- Category
- University and college textbooks
- 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.