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

DOI10.1016/J.EJOR.2008.02.040MaRDI QIDQ2378465zbMATHOpenAlexFDO

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

zbMATH Keywords

financefinite element methodquasi-variational inequalitiesimpulse controlcash management

Mathematics Subject Classification ID

Impulsive optimal control problems (49N25)

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Cited in

(25)

• Optimal impulse control on an unbounded domain with nonlinear cost functions
• Selecting the best risk measure in multiobjective cash management
• On the use of multiple criteria distance indexes to find robust cash management policies
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• A semi-Lagrangian \(\epsilon\)-monotone Fourier method for continuous withdrawal GMWBs under jump-diffusion with stochastic interest rate
• Model predictive control of cash balance in a cash concentration and disbursements system
• Stochastic impulse control with regime-switching dynamics
• Demand for cash with intra-period endogenous consumption
• A generalized impulse control model of cash management
• A multi-objective approach to the cash management problem
• Analysis and computation of probability density functions for a 1-D impulsively controlled diffusion process
• On the finite element approximation of the impulse control quasivariational inequality
• Optimal impulse control of a portfolio with a fixed transaction cost
• A probabilistic approach to the stochastic fluid cash management balance problem
• Optimal control of a dynamical system with intermediate phase constraints and applications in cash management
• Optimal cash management problem for compound Poisson processes with two-sided jumps
• Optimal impulse control for cash management with quadratic holding-penalty costs
• Analysis and constrained optimal impulsive control of a Holling-II type trophic system with two sources
• Competitive difference analysis of the cash management problem with uncertain demands
• Fitting random cash management models to data
• A stochastic goal programming model to derive stable cash management policies
• The future of branch cash holdings management is here: new Markov chains
• \(L^{\infty}\) error estimate for the noncoercive impulse control QVI: a new approach
• Empirical analysis of daily cash flow time-series and its implications for forecasting
• Management of online server congestion using optimal demand throttling

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