On classical and restricted impulse stochastic control for the exchange rate
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Publication:517931
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
quasi-variational inequalitiesimpulse controlverification theoremexchange rate controlregularity of value function
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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