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On Stochastic Optimization Problems and an Application in Finance

  • Book
  • © 2019

Overview

Authors:
  1. Josef Anton Strini

    1. Graz, Austria

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  • Publication in the field of mathematics

Part of the book series: BestMasters (BEST)

  • 2008 Accesses

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Table of contents (3 chapters)

  1. Front Matter

    Pages I-IX
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  2. Preliminaries

    • Josef Anton Strini
    Pages 1-34

  3. A singular stochastic control problem

    • Josef Anton Strini
    Pages 35-51

  4. Establishing the solution

    • Josef Anton Strini
    Pages 53-94

  5. Back Matter

    Pages 95-106
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Keywords

About this book

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.


Authors and Affiliations

  • Graz, Austria

    Josef Anton Strini

About the author

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.

Bibliographic Information

  • Book Title: On Stochastic Optimization Problems and an Application in Finance

  • Authors: Josef Anton Strini

  • Series Title: BestMasters

  • DOI: https://doi.org/10.1007/978-3-658-25691-3

  • Publisher: Springer Spektrum Wiesbaden

  • eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)

  • Copyright Information: The Editor(s) (if applicable) and The Author(s), under exclusive license to Springer Fachmedien Wiesbaden GmbH, part of Springer Nature 2019

  • Softcover ISBN: 978-3-658-25690-6Published: 19 March 2019

  • eBook ISBN: 978-3-658-25691-3Published: 06 March 2019

  • Series ISSN: 2625-3577

  • Series E-ISSN: 2625-3615

  • Edition Number: 1

  • Number of Pages: IX, 106

  • Number of Illustrations: 1 b/w illustrations

  • Topics: Probability Theory and Stochastic Processes, Financial Mathematics, Finance, general

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