On classical and restricted impulse stochastic control for the exchange rate

DOI10.1007/s00245-015-9320-6zbMath1358.93187OpenAlexW2280987419MaRDI QIDQ517931

Giulio Bertola, Kazuhiro Yasuda, Wolfgang J. Runggaldier

Publication date: 28 March 2017

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-015-9320-6

zbMATH Keywords

quasi-variational inequalitiesimpulse controlverification theoremexchange rate controlregularity of value function

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Impulsive optimal control problems (49N25)

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