Some applications of impulse control in mathematical finance (Q1974593)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Some applications of impulse control in mathematical finance |
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Some applications of impulse control in mathematical finance (English)
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7 May 2000
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This is a survey paper on the use of impulse control methods and quasi-variational inequalities in the context of problems from financial mathematics. It presents the basic ideas and results and discusses three applications: a cash management problem, the optimal control of an exchange rate, and portfolio optimization under transaction costs with a fixed cost component. The relation to viscosity solutions is also explored.
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impulse control
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mathematical finance
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portfolio optimization
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exchange rate
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cash management
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quasi-variational inequalities
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viscosity solutions
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survey
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