Some applications of impulse control in mathematical finance

Ralf Korn

Mathematical Methods of Operations Research, 1999, vol. 50, issue 3, 493-518

Abstract: 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

Keywords: Key words: Impulse control; portfolio optimisation; exchange rate; cash management; viscosity solutions (search for similar items in EconPapers)
Date: 1999
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Citations: View citations in EconPapers (31)

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DOI: 10.1007/s001860050083

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