On Stochastic Optimization Problems and an Application in Finance

• Main Author: Strini, Josef Anton (Author, http://id.loc.gov/vocabulary/relators/aut)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Wiesbaden : Springer Fachmedien Wiesbaden : Imprint: Springer Spektrum, 2019.
• Edition: 1st ed. 2019.
• Series: BestMasters,
• Subjects: Probabilities.; Finance-Mathematics.; Finance.; Probability Theory and Stochastic Processes.; Financial Mathematics.; Finance, general.

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 exten...

Table of Contents:

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