Optimal Control of Inflation: A Central Bank Problem

DOI10.1137/S036301299630495XzbMATH Open0909.90125MaRDI QIDQ4388950FDOQ4388950

Authors: Maria B. Chiarolla, Ulrich G. Haussmann 

Publication date: 10 May 1998

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

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zbMATH Keywords

inflationcentral bankstochastic differential gameweak variational inequalitybounded variation stochastic controlstrong variational inequalitytwo-dimensional bounded variation control problem

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Applications of game theory (91A80) Differential games (aspects of game theory) (91A23) Variational inequalities (49J40) Stochastic games, stochastic differential games (91A15) Application models in control theory (93C95) Optimal stochastic control (93E20) Unilateral problems for linear parabolic equations and variational inequalities with linear parabolic operators (35K85) Probabilistic games; gambling (91A60)

Cited In (14)

• Singular optimal controls of stochastic recursive systems and Hamilton-Jacobi-Bellman inequality
• Optimal contracts for central bankers: calls on inflation
• On the Optimal Management of Public Debt: a Singular Stochastic Control Problem
• Singular control of stochastic linear systems with recursive utility
• The relaxed stochastic maximum principle in singular optimal control of jump diffusions
• Multidimensional singular control and related Skorokhod problem: sufficient conditions for the characterization of optimal controls
• Differential game-theoretic thoughts on option pricing and transaction costs
• Singular optimal controls for stochastic recursive systems under convex control constraint
• Title not available (Why is that?)
• A Singular Stochastic Control Problem with Interconnected Dynamics
• An optimal control problem of monetary policy
• Controlling inflation: The infinite horizon case
• Vanishing central bank intervention in stochastic impulse control
• A zero-sum game between a singular stochastic controller and a discretionary stopper

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