On optimal cash management under a stochastic volatility model.

DOI10.4208/EAJAM.070313.220413AzbMATH Open1284.91565OpenAlexW2126245629MaRDI QIDQ5406936FDOQ5406936

Authors: Na Song, Wai-Ki Ching, Tak Kuen Siu, Cedric Ka Fai Yiu 

Publication date: 4 April 2014

Published in: East Asian Journal on Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/9ff1a30986e0e9bef813df4b02db2c6260dc9a09

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zbMATH Keywords

dynamic programmingstochastic volatilityHJB equationsoptimal cash management

Mathematics Subject Classification ID

Dynamic programming (90C39) Corporate finance (dividends, real options, etc.) (91G50) Stochastic models in economics (91B70) Optimal stochastic control (93E20)

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• The asymptotic behavior of the optimal cash holding strategy under a class of utility functions
• A probabilistic approach to the stochastic fluid cash management balance problem
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• A fitted finite volume method for stochastic optimal control problems in finance
• Optimal cash management under uncertainty
• Model predictive control of cash balance in a cash concentration and disbursements system
• The optimal cash holding models for stochastic cash management of continuous time
• The best financial administration of product's stocks or of the cash money stocks in probabilistic conditions

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