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.
| ISBN: | 9783658256906 |
| Publication date: | 19th March 2019 |
| Author: | Josef Anton Strini |
| Publisher: | Springer Spektrum an imprint of Springer Fachmedien Wiesbaden |
| Format: | Paperback |
| Pagination: | 106 pages |
| Series: | BestMasters |
| Genres: |
Probability and statistics Stochastics Finance and the finance industry |