Article ID: | iaor20003542 |
Country: | Germany |
Volume: | 50 |
Issue: | 3 |
Start Page Number: | 493 |
End Page Number: | 518 |
Publication Date: | Jan 1999 |
Journal: | Mathematical Methods of Operations Research (Heidelberg) |
Authors: | Korn R. |
Keywords: | financial |
We consider three applications of impulse control in financial mathematics, a cash management problem, optimal control of an exchange rate, and portfolio optimisation under transaction costs. We sketch the different ways of solving these problems with the help of quasi-variational inequalities. Further, some viscosity solution results are presented.