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)

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Cites Work

• 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.
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