Impulse control with random reaction periods: a central bank intervention problem

DOI10.1016/j.orl.2012.06.012zbMath1258.90030OpenAlexW2108690814MaRDI QIDQ1939677

Hongwei Long, Sandun Perera, Suresh P. Sethi, Alain Bensoussan

Publication date: 5 March 2013

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2012.06.012

zbMATH Keywords

variational inequalityimpulse controlcentral bank interventionsmarket reactions

Mathematics Subject Classification ID

Reliability, availability, maintenance, inspection in operations research (90B25) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33)

Related Items (9)

Market-reaction-adjusted optimal central bank intervention policy in a forex market with jumps ⋮ Regular finite fuel stochastic control problems with exit time ⋮ Management of online server congestion using optimal demand throttling ⋮ Analysis and computation of probability density functions for a 1-D impulsively controlled diffusion process ⋮ Interbank lending with benchmark rates: Pareto optima for a class of singular control games ⋮ Hamilton-Jacobi-Bellman quasi-variational inequality arising in an environmental problem and its numerical discretization ⋮ An approximation scheme for impulse control with random reaction periods ⋮ Nash equilibria in nonzero-sum differential games with impulse control ⋮ HJB and Fokker-Planck equations for river environmental management based on stochastic impulse control with discrete and random observation

Cites Work

• Unnamed Item
• Unnamed Item
• Optimal stochastic intervention control with application to the exchange rate
• Optimal Central Bank intervention in the foreign exchange market
• Classical and Impulse Stochastic Control of the Exchange Rate Using Interest Rates and Reserves
• Dynamic Programming Models and Algorithms for the Mutual Fund Cash Balance Problem
• Existence of Optimal Simple Policies for Discounted-Cost Inventory and Cash Management in Continuous Time
• Optimal Impulse Control When Control Actions Have Random Consequences
• Impulse Control Method and Exchange Rate
• Stochastic differential equations. An introduction with applications.

This page was built for publication: Impulse control with random reaction periods: a central bank intervention problem