Optimal cash management problem for compound Poisson processes with two-sided jumps

DOI10.1007/S00245-017-9467-4MaRDI QIDQ2338073zbMATH OpenOpenAlexFDO

Authors Pablo Azcue, Nora Muler

Publication date 20 November 2019

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00245-017-9467-4

zbMATH Keywords

cost functionalsHamilton-Jacobi-Bellman (HJB) equationcompound Poisson processcash managementtarget-trigger control

Mathematics Subject Classification ID

Impulsive optimal control problems (49N25)

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• scientific article; zbMATH DE number 3454991 (Why is no real title available?)
• scientific article; zbMATH DE number 1249326 (Why is no real title available?)
• A generalized impulse control model of cash management
• Applied stochastic control of jump diffusions
• Impulse control of multidimensional jump diffusions
• Inventory Control for Spectrally Positive Lévy Demand Processes
• On the impulse control of jump diffusions
• Optimal impulse control for a multidimensional cash management system with generalized cost functions
• Optimality of an $(s, S)$ Policy with Compound Poisson and Diffusion Demands: A Quasi-variational Inequalities Approach
• Optimality of an \((s,S)\) policy with compound Poisson and diffusion demands: a quasi-variational inequalities approach

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• Optimal cash management using impulse control
• The optimal cash holding models for stochastic cash management of continuous time

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