Some applications of impulse control in mathematical finance (Q1974593)

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scientific article; zbMATH DE number 1439917
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    Some applications of impulse control in mathematical finance
    scientific article; zbMATH DE number 1439917

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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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