Some applications of impulse control in mathematical finance

Mathematical Methods of Operations Research

Volumn 50, Issue 3, 1999, Pages 493-518

  Korn, Ralf ^a  

^a Rheinland Pfälzische Technische Universität Kaiserslautern Landau   (Germany)

Author keywords

Cash management; Exchange rate; Impulse control; Portfolio optimisation; Viscosity solutions

Indexed keywords

EID: 0040157788     PISSN: 14322994     EISSN: None     Source Type: Journal    
DOI: 10.1007/s001860050083     Document Type: Article

References (21)

1. Bensoussan A, Lions JL (1984) Impulse control and quasi-variational inequalities. Gauthier-Villars, Paris
2. Bielecki TR, Pliska SR (1998) Risk sensitive asset management with transaction costs. Finance and Stochastics
3. Buckley IRC, Korn R (1998) Optimal cash management and transaction costs. International Journal of Applied and Theoretical Finance 1:315-330
4. Cadenillas A, Zapatero F (1998) Optimal central bank intervention in the foreign exchange market. Working paper
5. Constantinides GM, Richard SF (1978) Existence of optimal simple policies for discounted-cost inventory and cash management in continuous time. Operations Research 4:620-636
6. Crandall M, Lions PL (1984) Viscosity solutions of Hamilton-Jacobi-Bellman equations. Transactions of the A.M.S. 277:1-42
7. Crandall M, Ishii H, Lions PL (1992) A user's guide to viscosity solutions. Bulletin of the A.M.S., N.S. 27:1-67
8. Eastham JE, Hastings KJ (1988) Optimal impulse control of portfolios. Mathematics of Operations Research 13(4):588-605
9. Fleming WH, Soner MH (1993) Controlled Markov processes and viscosity solutions. Springer, Berlin
10. Flood R, Garber P (1991) The linkage between speculative attack and target zone models of exchange rates. Quarterly Journal of Economics 106:1367-1371
11. Jeanblanc-Piqué M (1993) Impulse control method and exchange rate. Mathematical Finance 3:161-177
12. Karatzas I, Shreve S (1988) Brownian motion and stochastic calculus. Springer, Berlin
13. Korn R (1997a) Generalised impulse control and value preserving control of continuous-time stochastic processes with applications to finance. Habilitationsschrift, Johannes Gutenberg-Universität Mainz
14. Korn R (1997b) Optimal impulse control when control consequences are random. Mathematics of Operations Research 22:639-667
15. Korn R (1998) Portfolio optimisation with strictly positive transaction costs. Finance and Stochastics 2:85-114
16. Korn R (1999) Viscosity solutions of quasi-variational inequalities, working paper
17. Krugman P (1991) Target zones and exchange rate dynamics. Quarterly Journal of Economics 106:669-682
18. Morton AJ, Pliska SR (1995) Optimal portfolio management with fixed transaction costs. Mathematical Finance 5:337-356
19. Mundaca G, Oksendal B (1997) Optimal stochastic intervention control with applications to the exchange rate. Journal of Mathematical Economics 29:225-243
20. Pliska SR (1986) A stochastic calculus model of continuous trading: Optimal portfolios. Mathematics of Operations Research 11:371-382
21. Whalley AE. Wilmott P (1994) Optimal hedging of options with small but arbitrary transaction cost structure. Preprint, OCIAM Working paper, Mathematical Institute Oxford