TY - BOOK ID - 46189205 TI - On Stochastic Optimization Problems and an Application in Finance PY - 2019 SN - 3658256915 3658256907 PB - Wiesbaden : Springer Fachmedien Wiesbaden : Imprint: Springer Spektrum, DB - UniCat KW - Mathematical optimization. KW - Optimization (Mathematics) KW - Optimization techniques KW - Optimization theory KW - Systems optimization KW - Mathematical analysis KW - Maxima and minima KW - Operations research KW - Simulation methods KW - System analysis KW - Distribution (Probability theory. KW - Finance—Mathematics. KW - Finance. KW - Probability Theory and Stochastic Processes. KW - Financial Mathematics. KW - Finance, general. KW - Funding KW - Funds KW - Economics KW - Currency question KW - Distribution functions KW - Frequency distribution KW - Characteristic functions KW - Probabilities KW - Probabilities. KW - Probability KW - Statistical inference KW - Combinations KW - Mathematics KW - Chance KW - Least squares KW - Mathematical statistics KW - Risk KW - Social sciences KW - Probability Theory. KW - Mathematics in Business, Economics and Finance. KW - Financial Economics. KW - Mathematics. UR - https://www.unicat.be/uniCat?func=search&query=sysid:46189205 AB - 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. ER -