On Stochastic Optimization Problems and an Application in Finance
| By: | Josef Anton Strini |
| Publisher: | Springer Nature |
| Print ISBN: | 9783658256906 |
| eText ISBN: | 9783658256913 |
| Edition: | 0 |
| Copyright: | 2019 |
| Format: | Page Fidelity |
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Table of Contents
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.