Solving impulse-control problems with control delays

DOI10.1007/978-1-4614-3433-7_3MaRDI QIDQ2920950zbMATH OpenOpenAlexFDO

Authors Kumar Muthuraman, Qi Wu

Publication date 29 September 2014

Published in Topics in Numerical Methods for Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-1-4614-3433-7_3

Mathematics Subject Classification ID

Ordinary differential equations with impulses (34A37) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

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Cites work

• A computational method for stochastic impulse control problems
• A moving boundary approach to American option pricing
• A Numerical Method for Solving Singular Stochastic Control Problems
• A Solvable One-Dimensional Model of a Diffusion Inventory System
• Existence of Optimal Simple Policies for Discounted-Cost Inventory and Cash Management in Continuous Time
• Explicit Solution of Inventory Problems with Delivery Lags
• Foundations of inventory management
• Inventory management with stochastic lead times
• MULTIDIMENSIONAL PORTFOLIO OPTIMIZATION WITH PROPORTIONAL TRANSACTION COSTS
• Optimal Impulse Control of a Diffusion Process with Both Fixed and Proportional Costs of Control
• SIMULATION-BASED PORTFOLIO OPTIMIZATION FOR LARGE PORTFOLIOS WITH TRANSACTION COSTS
• Solving Free-boundary Problems with Applications in Finance
• Stochastic leadtimes in continuous-time inventory models

Cited in

(4)

• Impulse control problem on finite horizon with execution delay
• A computational method for stochastic impulse control problems
• scientific article; zbMATH DE number 4161536 (Why is no real title available?)
• A task model to reduce control delays

Describes a project that uses

Uses Software

• Matlab

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