Some applications of impulse control in mathematical finance

被引：0
|
作者：
Ralf Korn
机构：
[1] Fachbereich Mathematik,
[2] Universität Kaiserslautern,undefined
[3] D-67653 Kaiserslautern,undefined
[4] Germany (e-mail: korn@mathematik.uni-kl.de),undefined
来源：
Mathematical Methods of Operations Research | 1999年 / 50卷
关键词：
Key words: Impulse control; portfolio optimisation; exchange rate; cash management; viscosity solutions;
D O I：
暂无
中图分类号：
学科分类号：
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：25
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