On stochastic optimization problems and an application in finance

DOI10.1007/978-3-658-25691-3MaRDI QIDQ4631592zbMATH OpenOpenAlexFDO

Authors Josef Anton Strini

Publication date 11 April 2019

Published in BestMasters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-658-25691-3

zbMATH Keywords

corporate financedynamic programmingstochastic optimal control

Mathematics Subject Classification ID

Dynamic programming (90C39) Corporate finance (dividends, real options, etc.) (91G50) Financial applications of other theories (91G80) Research exposition (monographs, survey articles) pertaining to systems and control theory (93-02) Optimal stochastic control (93E20)

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(14)

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• An application of stochastic optimization theory to institutional finance
• Stochastic optimization methods in finance and energy. New financial products and energy market strategies. Selected papers based on the presentations at the spring school of stochastic programming, Bergamo, Italy, April 10--20, 2007, and the 11th international symposium on stochastic programming (SPXI), Vienna, Austria, August 27--31, 2007
• Interval optimization problems for financial investment and its real-world applications
• Introduction to convex optimization in financial markets
• Kinetic variable-sample methods for stochastic optimization problems
• Computation and analysis for a constrained entropy optimization problem in finance

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