Some applications of impulse control in mathematical finance
نویسنده
چکیده
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.
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ورودعنوان ژورنال:
- Math. Meth. of OR
دوره 50 شماره
صفحات -
تاریخ انتشار 1999