The Stochastic Cash Balance Problem with Average Compensating-Balance Requirements

DOI10.1287/MNSC.21.8.849MaRDI QIDQ4065248zbMATH OpenOpenAlexFDO

Authors Warren H. Hausman, Antonio Sanchez-Bell

Publication date 1975

Published in Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/mnsc.21.8.849

Mathematics Subject Classification ID

Hamilton-Jacobi theories (49L99) Inventory, storage, reservoirs (90B05) Applications of mathematical programming (90C90)

Cited in

(4)

• The optimal cash holding models for stochastic cash management of continuous time
• Analysis of the stochastic cash balance problem using a level crossing technique
• The asymptotic behavior of the optimal cash holding strategy under a class of utility functions
• Optimization of the decentralized cash management problem

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