Article ID: | iaor2004633 |
Country: | United States |
Volume: | 22 |
Issue: | 3 |
Start Page Number: | 639 |
End Page Number: | 667 |
Publication Date: | Aug 1997 |
Journal: | Mathematics of Operations Research |
Authors: | Korn R. |
We consider a generalised impulse control model for controlling a process governed by a stochastic differential equation. The controller can only choose a parameter of the probability distribution of the consequence of his control action which is therefore random. We state optimality results relating the value function to quasi-variational inequalities and a formal optimal stopping problem. We also remark that the value function is a viscosity solution of the quasivariational inequalities which could lead to developments and convergence proofs of numerical schemes. Further, we give some explicit examples and an application in financial mathematics, the optimal control of the exchange rate.