Some applications of impulse control in mathematical finance

被引：94

作者：

Korn, R ^{[1
]}

机构：

[1] Univ Kaiserslautern, Fachbereich Math, D-67653 Kaiserslautern, Germany

来源：

MATHEMATICAL METHODS OF OPERATIONS RESEARCH | 1999年 / 50卷 / 03期

关键词：

impulse control; portfolio optimisation; exchange rate; cash management; viscosity solutions;

D O I：

10.1007/s001860050083

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 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.

引用

页码：493 / 518

页数：26

共 21 条

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