Impulse control with random reaction periods: a central bank intervention problem
DOI10.1016/J.ORL.2012.06.012zbMATH Open1258.90030OpenAlexW2108690814MaRDI QIDQ1939677FDOQ1939677
Authors: 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
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Cites Work
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- Stochastic differential equations. An introduction with applications.
- Classical and impulse stochastic control of the exchange rate using interest rates and reserves.
- Impulse Control Method and Exchange Rate
- Optimal Central Bank intervention in the foreign exchange market
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- Optimal stochastic intervention control with application to the exchange rate
- Optimal Impulse Control When Control Actions Have Random Consequences
- Existence of Optimal Simple Policies for Discounted-Cost Inventory and Cash Management in Continuous Time
- Dynamic programming models and algorithms for the mutual fund cash balance problem
Cited In (10)
- An approximation scheme for impulse control with random reaction periods
- Market-reaction-adjusted optimal central bank intervention policy in a forex market with jumps
- Nash equilibria in nonzero-sum differential games with impulse control
- Interbank lending with benchmark rates: Pareto optima for a class of singular control games
- Hamilton-Jacobi-Bellman quasi-variational inequality arising in an environmental problem and its numerical discretization
- HJB and Fokker-Planck equations for river environmental management based on stochastic impulse control with discrete and random observation
- Regular finite fuel stochastic control problems with exit time
- Analysis and computation of probability density functions for a 1-D impulsively controlled diffusion process
- Management of online server congestion using optimal demand throttling
- Vanishing central bank intervention in stochastic impulse control
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