Impulse Control Method and Exchange Rate

DOI10.1111/J.1467-9965.1993.TB00085.XzbMATH Open0884.90034OpenAlexW2043016139MaRDI QIDQ4372007FDOQ4372007

Monique Jeanblanc

Publication date: 21 January 1998

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.1993.tb00085.x

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zbMATH Keywords

diffusion processconstant coefficientsexchange rateimpulse control

Mathematics Subject Classification ID

Application models in control theory (93C95)

Cites Work

• Title not available (Why is that?)

Cited In (45)

• A central bank strategy for defending a currency peg
• On the singular control of exchange rates
• Protecting pegged currency markets from speculative investors
• Irreversible investment with fixed adjustment costs: a stochastic impulse control approach
• An approximation scheme for impulse control with random reaction periods
• The stochastic maximum principle for optimal control problems of delay systems involving continuous and impulse controls
• Optimality of refraction strategies for spectrally negative Lévy processes
• Stochastic impulse control of exchange rates with Freidlin–Wentzell perturbations
• Optimal stochastic intervention control with application to the exchange rate
• Stochastic maximum principle for optimal control problems of forward-backward delay systems involving impulse controls
• Optimality of Two-Parameter Strategies in Stochastic Control
• Optimal Control of Brownian Inventory Models with Convex Holding Cost: Average Cost Case
• A disutility-based drift control for exchange rates
• Stochastic maximum principle for non-zero sum differential games of FBSDEs with impulse controls and its application to finance
• Optimal Index Tracking Under Transaction Costs and Impulse Control
• Interbank lending with benchmark rates: Pareto optima for a class of singular control games
• An impulsive delay discrete stochastic neural network fractional-order model and applications in finance
• A fixed-point policy-iteration-type algorithm for symmetric nonzero-sum stochastic impulse control games
• Optimal impulse and regular control strategies for proportional reinsurance problem
• Optimal stochastic impulse control with random coefficients and execution delay
• Boolean-controlled systems via receding horizon and linear programing
• Maximum principle for optimal control problems of forward-backward regime-switching systems involving impulse controls
• Maximum principle for stochastic recursive optimal control problems involving impulse controls
• Optimal Central Bank intervention in the foreign exchange market
• Zero-sum stochastic differential game in finite horizon involving impulse controls
• Semimartingale dynamics for a backward exchange rate process
• Optimal foreign exchange rate intervention in Lévy markets
• Optimal exchange rates management using stochastic impulse control for geometric Lévy processes
• Classical and restricted impulse control for the exchange rate under a stochastic trend model
• Infinite Horizon Stochastic Impulse Control with Delay and Random Coefficients
• Impulsively-controlled systems and reverse dwell time: a linear programming approach
• The generalization of a class of impulse stochastic control models of a geometric Brownian motion
• A General Verification Result for Stochastic Impulse Control Problems
• Risk‐sensitive stochastic maximum principle for forward‐backward systems involving impulse controls
• Impulse control of one-dimensional ito diffusions with an expected and a pathwise ergodic criterion
• Title not available (Why is that?)
• An impulse control of a geometric Brownian motion with quadratic costs
• The general maximum principle for stochastic control problems with singular controls
• Optimal impulse control for a multidimensional cash management system with generalized cost functions
• Impulse control with random reaction periods: a central bank intervention problem
• On the long-run average cost minimization problem of the stochastic production-inventory models
• Future Expectations Modeling, Random Coefficient Forward–Backward Stochastic Differential Equations, and Stochastic Viscosity Solutions
• Vanishing central bank intervention in stochastic impulse control
• On classical and restricted impulse stochastic control for the exchange rate
• Optimal price management in retail energy markets: an impulse control problem with asymptotic estimates

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