Vanishing central bank intervention in stochastic impulse control

DOI10.1007/s10436-018-0327-2zbMath1410.91343OpenAlexW2806860246MaRDI QIDQ2422127

Gregory Gagnon

Publication date: 18 June 2019

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-018-0327-2

zbMATH Keywords

value functionsemimartingalestochastic impulse control

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Macroeconomic theory (monetary models, models of taxation) (91B64) Optimal stochastic control (93E20)

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