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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 (permanent link):urn:nbn:de:hbz:386-kluedo-10814
Serie (Series number):Report in Wirtschaftsmathematik (WIMA Report) (55)
Document Type:Preprint
Language of publication:English
Year of Completion:1999
Year of Publication:1999
Publishing Institute:Technische Universität Kaiserslautern
Date of the Publication (Server):2000/10/04
Tag:Impulse control; cash management; exchange rate; portfolio optimisation; viscosity solutions
Faculties / Organisational entities:Fachbereich Mathematik
DDC-Cassification:5 Naturwissenschaften und Mathematik / 510 Mathematik
MSC-Classification (mathematics):93-XX SYSTEMS THEORY; CONTROL (For optimal control, see 49-XX) / 93Exx Stochastic systems and control / 93E20 Optimal stochastic control
Licence (German):Standard gemäß KLUEDO-Leitlinien vor dem 27.05.2011