On Stochastic Optimization Problems and an Application in Finance

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.

Publication in the field of mathematics

Autorentext
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.

Inhalt

Optimal Control of Markov Processes.- A Singular Stochastic Control Problem.- Dynamic Programming Approach and Consequences.