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BL
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| Record Number
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881954
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| Main Entry
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Strini, Josef Anton
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| Title & Author
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On stochastic optimization problems and an application in finance /\ Josef Anton Strini.
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| Publication Statement
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Wiesbaden, Germany :: Springer Spektrum,, 2019.
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| Series Statement
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BestMasters,
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| Page. NO
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1 online resource (ix, 106 pages) :: illustrations
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| ISBN
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3658256915
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: 9783658256913
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3658256907
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9783658256906
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| Bibliographies/Indexes
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Includes bibliographical references.
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| Contents
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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
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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
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| Abstract
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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.
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| Subject
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Mathematical optimization.
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| Subject
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Stochastic processes.
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| Subject
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Mathematical optimization.
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| Subject
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Stochastic processes.
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| Dewey Classification
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519.6
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| LC Classification
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QA402.5
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