Optimal impulse control for a multidimensional cash management system with generalized cost functions

DOI10.1016/J.EJOR.2008.02.040zbMATH Open1159.91384OpenAlexW2030941333MaRDI QIDQ2378465FDOQ2378465

Authors: Stefano Baccarin 

Publication date: 8 January 2009

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2008.02.040

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zbMATH Keywords

financefinite element methodquasi-variational inequalitiesimpulse controlcash management

Mathematics Subject Classification ID

Impulsive optimal control problems (49N25)

Cites Work

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Cited In (24)

• A semi-Lagrangian \(\epsilon\)-monotone Fourier method for continuous withdrawal GMWBs under jump-diffusion with stochastic interest rate
• Optimal impulse control for cash management with quadratic holding-penalty costs
• Demand for cash with intra-period endogenous consumption
• A stochastic goal programming model to derive stable cash management policies
• A multi-objective approach to the cash management problem
• Optimal cash management problem for compound Poisson processes with two-sided jumps
• Fitting random cash management models to data
• A probabilistic approach to the stochastic fluid cash management balance problem
• Title not available (Why is that?)
• The future of branch cash holdings management is here: new Markov chains
• Stochastic impulse control with regime-switching dynamics
• On the use of multiple criteria distance indexes to find robust cash management policies
• Optimal impulse control of a portfolio with a fixed transaction cost
• Selecting the best risk measure in multiobjective cash management
• Analysis and computation of probability density functions for a 1-D impulsively controlled diffusion process
• Title not available (Why is that?)
• Model predictive control of cash balance in a cash concentration and disbursements system
• Competitive difference analysis of the cash management problem with uncertain demands
• Optimal impulse control on an unbounded domain with nonlinear cost functions
• Management of online server congestion using optimal demand throttling
• A generalized impulse control model of cash management
• Analysis and constrained optimal impulsive control of a Holling-II type trophic system with two sources
• \(L^{\infty}\) error estimate for the noncoercive impulse control QVI: a new approach
• On the finite element approximation of the impulse control quasivariational inequality

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