Report in Wirtschaftsmathematik (WIMA Report)
- exchange rate (1) (remove)
- Some Applications of Impulse Control in Mathematical Finance (1999)
- 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.