Impulse Control with Random Reaction Periods : A Central Bank Intervention Problem

We model an impulse control problem when the controller's action affects the state as well as the dynamics of the state process for a random amount of time. We apply our model to solve a central bank intervention problem in the foreign exchange market when the market observes and reacts to the bank's interventions

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Year of publication:	2014
Authors:	Bensoussan, Alain
Other Persons:	Long, Hongwei (contributor) ; Perera, Sandun (contributor) ; Sethi, Suresh P. (contributor)
Publisher:	[2014]: [S.l.] : SSRN
Subject:	Theorie \| Theory \| Wechselkurspolitik \| Exchange rate policy \| Zentralbank \| Central bank \| Geldpolitik \| Monetary policy

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