Stochastic impulse control of exchange rates with Freidlin–Wentzell perturbations

DOI10.1017/jpr.2016.84zbMath1416.91296OpenAlexW2604535674MaRDI QIDQ4684836

Gregory Gagnon

Publication date: 26 September 2018

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/jpr.2016.84

zbMATH Keywords

value functionFreidlin-Wentzell theorytarget zonestochastic impulse control

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Optimal stochastic control (93E20) Large deviations (60F10) Financial applications of other theories (91G80)

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Cites Work

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