Impulse control with random reaction periods: a central bank intervention problem

DOI10.1016/J.ORL.2012.06.012MaRDI QIDQ1939677zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

central bank interventionsimpulse controlmarket reactionsvariational inequality

Mathematics Subject Classification ID

Reliability, availability, maintenance, inspection in operations research (90B25) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33)

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Cites work

• Classical and impulse stochastic control of the exchange rate using interest rates and reserves.
• Dynamic programming models and algorithms for the mutual fund cash balance problem
• Existence of Optimal Simple Policies for Discounted-Cost Inventory and Cash Management in Continuous Time
• scientific article; zbMATH DE number 3507496 (Why is no real title available?)
• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• Impulse Control Method and Exchange Rate
• Optimal Central Bank intervention in the foreign exchange market
• Optimal Impulse Control When Control Actions Have Random Consequences
• Optimal stochastic intervention control with application to the exchange rate
• Stochastic differential equations. An introduction with applications.

Cited in

(12)

• Market-reaction-adjusted optimal central bank intervention policy in a forex market with jumps
• An approximation scheme for impulse control with random reaction periods
• HJB and Fokker-Planck equations for river environmental management based on stochastic impulse control with discrete and random observation
• Management of online server congestion using optimal demand throttling
• Hamilton-Jacobi-Bellman quasi-variational inequality arising in an environmental problem and its numerical discretization
• Nash equilibria in nonzero-sum differential games with impulse control
• Analysis and computation of probability density functions for a 1-D impulsively controlled diffusion process
• Vanishing central bank intervention in stochastic impulse control
• Impulse control of interest rates
• Regular finite fuel stochastic control problems with exit time
• Interbank lending with benchmark rates: Pareto optima for a class of singular control games
• Deep impulse control: application to interest rate intervention

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