| Article ID: | iaor20127739 |
| Volume: | 40 |
| Issue: | 6 |
| Start Page Number: | 425 |
| End Page Number: | 430 |
| Publication Date: | Nov 2012 |
| Journal: | Operations Research Letters |
| Authors: | Sethi Suresh, Bensoussan Alain, Long Hongwei, Perera Sandun |
| Keywords: | simulation, control |
We model an impulse control problem when the controller’s action affects the state as well as the dynamics of the state process for a random amount of time. We apply our model to solve a central bank intervention problem in the foreign exchange market when the market observes and reacts to the bank’s interventions.