Some applications of impulse control in mathematical finance

We consider three applications of impulse control in financial mathematics, a cash management problem, optimal control of an exchange rate, and portfolio optimisation under transaction costs. We sketch the different ways of solving these problems with the help of quasi-variational inequalities. Further, some viscosity solution results are presented. Copyright Springer-Verlag Berlin Heidelberg 1999

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Year of publication:	1999
Authors:	Korn, Ralf
Published in:	Mathematical Methods of Operations Research. - Springer. - Vol. 50.1999, 3, p. 493-518
Publisher:	Springer
Subject:	Impulse control \| portfolio optimisation \| exchange rate \| cash management \| viscosity solutions

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010950395