Some applications of impulse control in mathematical finance

Some applications of impulse control in mathematical finance

0.00 Avg rating0 Votes
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:
Keywords: financial
Abstract:

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.

Reviews

Required fields are marked *. Your email address will not be published.