On Stochastic Optimization Problems and an Application in Finance
Josef Anton Strini, "On Stochastic Optimization Problems and an Application in Finance"
English | ISBN: 3658256907 | 2019 | 106 pages | PDF | 1 MB
English | ISBN: 3658256907 | 2019 | 106 pages | PDF | 1 MB
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.