عنوان

On stochastic optimization problems and an application in finance /

(Number (ISBN

3658256915

(Number (ISBN

9783658256913

Erroneous ISBN

3658256907

Erroneous ISBN

9783658256906

Title Proper

On stochastic optimization problems and an application in finance /

General Material Designation

[Book]

First Statement of Responsibility

Josef Anton Strini.

Place of Publication, Distribution, etc.

Wiesbaden, Germany :

Name of Publisher, Distributor, etc.

Springer Spektrum,

Date of Publication, Distribution, etc.

2019.

Specific Material Designation and Extent of Item

1 online resource (ix, 106 pages) :

Other Physical Details

illustrations

Series Title

BestMasters,

ISSN of Series

2625-3577

Text of Note

Includes bibliographical references.

Text of Note

Intro; Acknowledgements; Contents; List of Figures; 1. Preliminaries; 1.1. Introduction; 1.2. Markov processes; 1.2.1. Diffusion processes; 1.2.2. Compound Poisson processes; 1.3. Optimal control of Markov processes; 1.3.1. Dynamic programming; 1.3.2. Verification step; 2. A singular stochastic control problem; 2.1. Introduction; 2.2. Model assumptions; 2.3. Singular stochastic control theory; 2.3.1. The infinite time horizon problem for Markovdiffusions in R; 2.3.2. The singular stochastic control case; 3. Establishing the solution; 3.1. Dynamic programming approach

Text of Note

3.1.1. First step: The Hamilton-Jacobi-Bellman equation3.1.2. Second step: HJB solutions exceed the value function; 3.1.3. Third step: The conjectured optimal policy; 3.1.4. Fourth step: Optimality of the conjectured solution; 3.2. Resulting consequences and outlook; A. Numerical complement; Bibliography

0

8

Text of Note

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.

Title

On stochastic optimization problems and an application in finance.

International Standard Book Number

9783658256906

Mathematical optimization.

Stochastic processes.

Mathematical optimization.

Stochastic processes.

Number

Edition

Class number

Strini, Josef Anton

Date of Transaction

20200823184102.0

Cataloguing Rules (Descriptive Conventions))

pn

Electronic name

[Book]

Y