## Some Applications of Impulse Control in Mathematical Finance

• 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.

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Author: Ralf Korn urn:nbn:de:hbz:386-kluedo-10814 Report in Wirtschaftsmathematik (WIMA Report) (55) Preprint English 1999 1999 Technische Universität Kaiserslautern 2000/10/04 Impulse control ; cash management ; exchange rate ; portfolio optimisation ; viscosity solutions Fachbereich Mathematik 5 Naturwissenschaften und Mathematik / 51 Mathematik / 510 Mathematik 93-XX SYSTEMS THEORY; CONTROL (For optimal control, see 49-XX) / 93Exx Stochastic systems and control / 93E20 Optimal stochastic control Standard gemäß KLUEDO-Leitlinien vor dem 27.05.2011

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