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- scientific article; zbMATH DE number 2065135
Cites work
- A Stochastic Cash Balance Model with Two Sources of Short-Term Funds
- An equilibrium characterization of the term structure
- Composition and invariance methods for solving some stochastic control problems
- Consumption-investment problem with subsistence consumption, bankruptcy, and random market coefficients
- Existence of Optimal Simple Policies for Discounted-Cost Inventory and Cash Management in Continuous Time
- scientific article; zbMATH DE number 4010171 (Why is no real title available?)
- scientific article; zbMATH DE number 1734433 (Why is no real title available?)
- Optimality of an $(s, S)$ Policy with Compound Poisson and Diffusion Demands: A Quasi-variational Inequalities Approach
- Optimum consumption and portfolio rules in a continuous-time model
- Portfolio Selection with Transaction Costs
- Pricing interest-rate-derivative securities
- Some Examples of Optimal Stochastic Controls OR: The Stochastic Maximum Principle at Work
- Stochastic Cash Management with Fixed and Proportional Transaction Costs
- Three Asset Cash Balance and Dynamic Portfolio Problems
Cited in
(22)- The optimal cash holding models for stochastic cash management of continuous time
- Analysis of the stochastic cash balance problem using a level crossing technique
- The future of branch cash holdings management is here: new Markov chains
- Numeric algorithm for optimal impulsive control based on feedback maximum principle
- Hybrid optimal impulse control
- The asymptotic behavior of the optimal cash holding strategy under a class of utility functions
- Competitive difference analysis of the cash management problem with uncertain demands
- Arrow sufficient conditions for optimality of fully coupled forward-backward stochastic differential equations with applications to finance
- A probabilistic approach to the stochastic fluid cash management balance problem
- Dynamic programming models and algorithms for the mutual fund cash balance problem
- Optimal Money Holding under Uncertainty
- Transactions Demand for Money with a Stochastic, Time-Varying Interest Rate
- Cash management using multi-stage stochastic programming
- On optimal cash management under a stochastic volatility model.
- The best financial administration of product's stocks or of the cash money stocks in probabilistic conditions
- Organization size and the optimal investment in cash
- Cash management in a randomly varying environment
- Optimal control for uncertain random continuous-time systems
- Optimal decision-making of mutual fund temporary borrowing problem via approximate dynamic programming
- The optimal control problem of fully coupled FBSDEs driven by sub-diffusion with applications
- Optimization of the decentralized cash management problem
- The utility of cash flow forecasts in the management of corporate cash balances
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