Some applications of impulse control in mathematical finance

被引：95
|
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
收藏
页码：493 / 518
页数：26
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