Optimal cash management under uncertainty

DOI10.1016/j.orl.2009.08.002zbMath1182.91189OpenAlexW3123940692MaRDI QIDQ1043253

Suresh P. Sethi, Anshuman Chutani, Alain Bensoussan

Publication date: 7 December 2009

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://mpra.ub.uni-muenchen.de/19896/1/MPRA_paper_19896.pdf

zbMATH Keywords

maximum principlestochastic controlrisky assetscash management

Mathematics Subject Classification ID

Transportation, logistics and supply chain management (90B06) Optimal stochastic control (93E20) Corporate finance (dividends, real options, etc.) (91G50)

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Hybrid optimal impulse control, The asymptotic behavior of the optimal cash holding strategy under a class of utility functions, A probabilistic approach to the stochastic fluid cash management balance problem, Optimal control for uncertain random continuous-time systems, Optimal decision-making of mutual fund temporary borrowing problem via approximate dynamic programming, The optimal cash holding models for stochastic cash management of continuous time, The future of branch cash holdings management is here: new Markov chains, Numeric algorithm for optimal impulsive control based on feedback maximum principle, Competitive difference analysis of the cash management problem with uncertain demands, Arrow sufficient conditions for optimality of fully coupled forward-backward stochastic differential equations with applications to finance

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