عنوان

On stochastic optimization problems and an application in finance /

شابک

3658256915

شابک

9783658256913

شابک اشتباه

3658256907

شابک اشتباه

9783658256906

عنوان اصلي

On stochastic optimization problems and an application in finance /

نام عام مواد

[Book]

نام نخستين پديدآور

Josef Anton Strini.

محل نشرو پخش و غیره

Wiesbaden, Germany :

نام ناشر، پخش کننده و غيره

Springer Spektrum,

تاریخ نشرو بخش و غیره

2019.

نام خاص و کميت اثر

1 online resource (ix, 106 pages) :

ساير جزييات

illustrations

عنوان فروست

BestMasters,

شاپا ي ISSN فروست

2625-3577

متن يادداشت

Includes bibliographical references.

متن يادداشت

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

متن يادداشت

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

بدون عنوان

0

بدون عنوان

8

متن يادداشت

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.

عنوان

On stochastic optimization problems and an application in finance.

شماره استاندارد بين المللي کتاب و موسيقي

9783658256906

موضوع مستند نشده

Mathematical optimization.

موضوع مستند نشده

Stochastic processes.

موضوع مستند نشده

Mathematical optimization.

موضوع مستند نشده

Stochastic processes.

شماره

ويراست

شماره رده

مستند نام اشخاص تاييد نشده

Strini, Josef Anton

تاريخ عمليات

20200823184102.0

قواعد فهرست نويسي ( بخش توصيفي )

pn

نام الکترونيکي

نوع ماده

[Book]

تكميل شده

Y