Financing policies via stochastic control: a dynamic programming approach

DOI10.1007/S10898-011-9725-YzbMATH Open1250.90059OpenAlexW2016140240MaRDI QIDQ453634FDOQ453634

Authors: Roy Cerqueti 

Publication date: 27 September 2012

Published in: Journal of Global Optimization (Search for Journal in Brave)

Full work available at URL: https://openresearch.lsbu.ac.uk/download/e99c116b7d2412527500eed6bef336f443438afefe8ad89af57e97f25760e0a0/261162/JOGO_Revision3_submitted.pdf

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zbMATH Keywords

stochastic optimal controlviscosity solutionscompany external financingHamilton Jacobi Bellman equation

Mathematics Subject Classification ID

Dynamic programming (90C39) Stochastic programming (90C15) Corporate finance (dividends, real options, etc.) (91G50)

Cites Work

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Cited In (14)

• Optimal Financing of a Corporation Subject To Random Returns
• Title not available (Why is that?)
• Dynamic credit quality evaluation with social network data
• Optimal control models in finance. A new computational approach.
• A combined stochastic programming and optimal control approach to personal finance and pensions
• Investment and operational decisions for start-up companies: a game theory and Markov decision process approach
• Title not available (Why is that?)
• Success or failure of a firm under different financing policies: A dynamic stochastic model
• \(N\)-gram distribution and unification gain problem and its optimal solution
• Model predictive control of cash balance in a cash concentration and disbursements system
• On stochastic optimization problems and an application in finance
• The perspective of a bank in granting credits: an optimization model
• The interaction of debt financing, cash grants and the optimal investment policy under uncertainty
• A model of optimal financing decisions in a stochastic framework

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