Impulse Control Method and Exchange Rate

Monique Jeanblanc‐Picqué

Mathematical Finance, 1993, vol. 3, issue 2, 161-177

Abstract: We control a diffusion process with constant coefficients in order to keep this process in a given band with impulse control methods. We prove that there exists an optimal control if the cost associated with each control is a fixed cost plus a proportional cost. We study the problem of the exchange rate and prove that it is possible to keep the exchange rate in a target zone with discrete interventions.

Date: 1993
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