On Stochastic Optimization Problems and an Application in Finance: BestMasters
Autor Josef Anton Strinien Limba Engleză Paperback – 19 mar 2019
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Specificații
ISBN-13: 9783658256906
ISBN-10: 3658256907
Pagini: 106
Ilustrații: IX, 106 p. 1 illus.
Dimensiuni: 148 x 210 mm
Greutate: 0.15 kg
Ediția:1st ed. 2019
Editura: Springer Fachmedien Wiesbaden
Colecția Springer Spektrum
Seria BestMasters
Locul publicării:Wiesbaden, Germany
ISBN-10: 3658256907
Pagini: 106
Ilustrații: IX, 106 p. 1 illus.
Dimensiuni: 148 x 210 mm
Greutate: 0.15 kg
Ediția:1st ed. 2019
Editura: Springer Fachmedien Wiesbaden
Colecția Springer Spektrum
Seria BestMasters
Locul publicării:Wiesbaden, Germany
Cuprins
Optimal Control of Markov Processes.- A Singular Stochastic Control Problem.- Dynamic Programming Approach and Consequences.
Notă biografică
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.
Textul de pe ultima copertă
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.Contents
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.
- Optimal Control of Markov Processes
- A Singular Stochastic Control Problem
- Dynamic Programming Approach and Consequences
- Researchers and students in the fields of mathematics, probability theory and applied mathematics in financial and actuarial industry
- Mathematicians from the financial and actuarial industry
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.
Caracteristici
Publication in the field of mathematics