Classical and Impulse Stochastic Control of the Exchange Rate Using Interest Rates and Reserves
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Publication:2707139
DOI10.1111/1467-9965.00086zbMath1034.91036OpenAlexW2095500572MaRDI QIDQ2707139
Fernando Zapatero, Abel Cadenillas
Publication date: 29 March 2001
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1467-9965.00086
stochastic differential equationsquasi-variational inequalitiesstopping timesexchange ratemixed classical-impulse stochastic control
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)
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