Optimal exchange rates management using stochastic impulse control for geometric Lévy processes
From MaRDI portal
Publication:2417958
DOI10.1007/s00186-018-0648-yzbMath1410.91349OpenAlexW2885085682MaRDI QIDQ2417958
Publication date: 31 May 2019
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00186-018-0648-y
stochastic optimal controlquasi-variational inequalitiesgeometric Brownian motionexchange rategeometric Lévy processes
Processes with independent increments; Lévy processes (60G51) Macroeconomic theory (monetary models, models of taxation) (91B64) Optimal stochastic control (93E20)
Related Items
Mathematical and numerical analyses of a stochastic impulse control model with imperfect interventions, Optimal cash management using impulse control, Analysis and computation of an optimality equation arising in an impulse control problem with discrete and costly observations
Cites Work
- Unnamed Item
- Unnamed Item
- Applied stochastic control of jump diffusions.
- Nouvelles méthodes en contrôle impulsionnel
- Optimal impulse and continuous control: Method of nonlinear quasi- variational inequalities
- Optimal stochastic intervention control with application to the exchange rate
- Optimal Central Bank intervention in the foreign exchange market
- Introductory lectures on fluctuations of Lévy processes with applications.
- An impulse control of a geometric Brownian motion with quadratic costs
- Government Debt Control: Optimal Currency Portfolio and Payments
- Impulse Control of Interest Rates
- Impulse Control of Brownian Motion
- Optimal Control of a Mean-Reverting Inventory
- A Computational Method for Stochastic Impulse Control Problems
- Impulse Control of Brownian Motion: The Constrained Average Cost Case
- OPTIMAL DIVIDEND POLICY WITH MEAN-REVERTING CASH RESERVOIR
- A Solvable One-Dimensional Model of a Diffusion Inventory System
- Stochastic Cash Management with Fixed and Proportional Transaction Costs
- Existence of Optimal Simple Policies for Discounted-Cost Inventory and Cash Management in Continuous Time
- Optimal Impulse Control When Control Actions Have Random Consequences
- Impulse Control Method and Exchange Rate
- Lévy Processes and Stochastic Calculus
- Optimal Control of Brownian Inventory Models with Convex Holding Cost: Average Cost Case
- Optimal Control of Brownian Inventory Models with Convex Inventory Cost: Discounted Cost Case
