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On Stochastic Optimization Problems and an Application in Finance

On Stochastic Optimization Problems and an Application in Finance

Paperback

Series: Bestmasters

Investing & FinanceGeneral MathematicsProbability & Statistics

ISBN10: 3658256907
ISBN13: 9783658256906
Publisher: Springer Spektrum
Published: Mar 19 2019
Pages: 106
Weight: 0.33
Height: 0.25 Width: 5.83 Depth: 8.27
Language: English
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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Probability & Statistics