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On Stochastic Optimization Problems and an Application in Finance (Paperback, 1st ed. 2019)
Loot Price: R1,580
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On Stochastic Optimization Problems and an Application in Finance (Paperback, 1st ed. 2019)
Series: BestMasters
Expected to ship within 10 - 15 working days
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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.
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