On Stochastic Optimization Problems and an Application in Finance(BestMasters)

数学史

原   价:
933.75
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747.00
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作      者
出  版 社
出版时间
2019年03月19日
装      帧
ISBN
9783658256906
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页      码
106
语      种
英文
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图书简介
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.
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