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© 2019

On Stochastic Optimization Problems and an Application in Finance

Book
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Part of the BestMasters book series (BEST)

Table of contents

  1. Front Matter
    Pages I-IX
  2. Josef Anton Strini
    Pages 1-34
  3. Josef Anton Strini
    Pages 35-51
  4. Josef Anton Strini
    Pages 53-94
  5. Back Matter
    Pages 95-106

About this book

Introduction

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

  • Optimal Control of Markov Processes
  • A Singular Stochastic Control Problem
  • Dynamic Programming Approach and Consequences

Target Groups

  • 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

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.

Keywords

Applied Probability Mathematical Finance Actuarial Mathematics Stochastic Optimal Control Dividend Consumption Problem

Authors and affiliations

  1. 1.GrazAustria

About the authors

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

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