Impulse control with random reaction periods: A central bank intervention problem

被引：15

作者：

Bensoussan, Alain ^{[1
,3
,4
]}

Long, Hongwei ^{[2
]}

Perera, Sandun ^{[1
]}

Sethi, Suresh ^{[1
]}

机构：

[1] Univ Texas Dallas, Jindal Sch Management, Richardson, TX 75080 USA

[2] Florida Atlantic Univ, Dept Math Sci, Boca Raton, FL 33431 USA

[3] Ajou Univ, Dept Financial Engn, Suwon 441749, South Korea

[4] Hong Kong Polytech Univ, Grad Sch Business, Hong Kong, Hong Kong, Peoples R China

来源：

OPERATIONS RESEARCH LETTERS | 2012年 / 40卷 / 06期

基金：

新加坡国家研究基金会;

关键词：

Impulse control; Central bank interventions; Market reactions; Variational inequality; EXCHANGE-RATE VOLATILITY; TARGET ZONES; RATES;

D O I：

10.1016/j.orl.2012.06.012

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

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. Published by Elsevier B.V.

引用

页码：425 / 430

页数：6

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