Some applications of impulse control in mathematical finance
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Publication:1974593
DOI10.1007/s001860050083zbMath0942.91048OpenAlexW1965150957MaRDI QIDQ1974593
Publication date: 7 May 2000
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s001860050083
surveyquasi-variational inequalitiesportfolio optimizationviscosity solutionsmathematical financeimpulse controlexchange ratecash management
Applications of optimal control and differential games (49N90) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Portfolio theory (91G10)
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