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.
Author: | Ralf Korn |
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URN: | urn:nbn:de:hbz:386-kluedo-10814 |
Series (Serial Number): | Report in Wirtschaftsmathematik (WIMA Report) (55) |
Document Type: | Preprint |
Language of publication: | English |
Year of Completion: | 1999 |
Year of first Publication: | 1999 |
Publishing Institution: | 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: | Kaiserslautern - 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 |