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The Resource On Stochastic Optimization Problems and an Application in Finance, by Josef Anton Strini, (electronic resource)

On Stochastic Optimization Problems and an Application in Finance, by Josef Anton Strini, (electronic resource)

Label
On Stochastic Optimization Problems and an Application in Finance
Title
On Stochastic Optimization Problems and an Application in Finance
Statement of responsibility
by Josef Anton Strini
Creator
Subject
Language
eng
Summary
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.--
Member of
Assigning source
Provided by publisher
http://library.link/vocab/creatorName
Strini, Josef Anton
Image bit depth
0
Literary form
non fiction
Nature of contents
dictionaries
Series statement
  • BestMasters,
  • Springer eBooks
  • Springer eBooks.
http://library.link/vocab/subjectName
  • Distribution (Probability theory
  • Finance—Mathematics
  • Finance
Label
On Stochastic Optimization Problems and an Application in Finance, by Josef Anton Strini, (electronic resource)
Link
http://ezproxy.eui.eu/login?url=https://doi.org/10.1007/978-3-658-25691-3
Instantiates
Publication
Antecedent source
mixed
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
not applicable
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
Optimal Control of Markov Processes -- A Singular Stochastic Control Problem -- Dynamic Programming Approach and Consequences
Control code
978-3-658-25691-3
Dimensions
unknown
Extent
1 online resource (IX, 106 pages)
File format
multiple file formats
Form of item
  • online
  • electronic
Governing access note
Use of this electronic resource may be governed by a license agreement which restricts use to the European University Institute community. Each user is responsible for limiting use to individual, non-commercial purposes, without systematically downloading, distributing, or retaining substantial portions of information, provided that all copyright and other proprietary notices contained on the materials are retained. The use of software, including scripts, agents, or robots, is generally prohibited and may result in the loss of access to these resources for the entire European University Institute community
Isbn
9783658256913
Level of compression
uncompressed
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other physical details
1 illustration
Quality assurance targets
absent
Reformatting quality
access
Specific material designation
remote
System control number
(OCoLC)1089725392
Label
On Stochastic Optimization Problems and an Application in Finance, by Josef Anton Strini, (electronic resource)
Link
http://ezproxy.eui.eu/login?url=https://doi.org/10.1007/978-3-658-25691-3
Publication
Antecedent source
mixed
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
not applicable
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
Optimal Control of Markov Processes -- A Singular Stochastic Control Problem -- Dynamic Programming Approach and Consequences
Control code
978-3-658-25691-3
Dimensions
unknown
Extent
1 online resource (IX, 106 pages)
File format
multiple file formats
Form of item
  • online
  • electronic
Governing access note
Use of this electronic resource may be governed by a license agreement which restricts use to the European University Institute community. Each user is responsible for limiting use to individual, non-commercial purposes, without systematically downloading, distributing, or retaining substantial portions of information, provided that all copyright and other proprietary notices contained on the materials are retained. The use of software, including scripts, agents, or robots, is generally prohibited and may result in the loss of access to these resources for the entire European University Institute community
Isbn
9783658256913
Level of compression
uncompressed
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other physical details
1 illustration
Quality assurance targets
absent
Reformatting quality
access
Specific material designation
remote
System control number
(OCoLC)1089725392

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