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- Autorius: Josef Anton Strini
- Leidėjas: Springer Spektrum
- ISBN-10: 3658256907
- ISBN-13: 9783658256906
- Formatas: 14.8 x 21 x 0.6 cm, minkšti viršeliai
- Kalba: Anglų
On Stochastic Optimization Problems and an Application in Finance (el. knyga) (skaityta knyga) | knygos.lt
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Aprašymas
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.
- Autorius: Josef Anton Strini
- Leidėjas: Springer Spektrum
- ISBN-10: 3658256907
- ISBN-13: 9783658256906
- Formatas: 14.8 x 21 x 0.6 cm, minkšti viršeliai
- Kalba: Anglų
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.
Atsiliepimai