An approximation scheme for impulse control with random reaction periods

DOI10.1016/j.orl.2017.08.014zbMath1409.93072OpenAlexW2755130509MaRDI QIDQ1728360

Sandun Perera, Hongwei Long

Publication date: 22 February 2019

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

Full work available at URL: https://doi.org/10.1016/j.orl.2017.08.014

zbMATH Keywords

optimal stopping problemscentral bank (or government) interventionsimpulse control with random reaction periods

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (2)

Management of online server congestion using optimal demand throttling ⋮ An approximation scheme for impulse control with random reaction periods

Cites Work

• Unnamed Item
• A Jump-Diffusion Model for Option Pricing
• Optimal impulse control of a portfolio with a fixed transaction cost
• Existence and uniqueness of viscosity solutions for QVI associated with impulse control of jump-diffusions
• Markovian demand inventory models
• Impulse control problem on finite horizon with execution delay
• Optimal stochastic intervention control with application to the exchange rate
• Optimal Central Bank intervention in the foreign exchange market
• Portfolio optimisation with strictly positive transaction costs and impulse control
• Market-reaction-adjusted optimal central bank intervention policy in a forex market with jumps
• An approximation scheme for impulse control with random reaction periods
• Stochastic control problems where small intervention costs have big effects
• Impulse control with random reaction periods: a central bank intervention problem
• Some applications of impulse control in mathematical finance
• Risk sensitive asset management with transaction costs
• A model of optimal portfolio selection under liquidity risk and price impact
• Classical and Impulse Stochastic Control of the Exchange Rate Using Interest Rates and Reserves
• Inventory Control for Spectrally Positive Lévy Demand Processes
• Impulse Control of Brownian Motion
• Impulse Control of Multidimensional Jump Diffusions
• OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS
• Impulse Control of Brownian Motion: The Constrained Average Cost Case
• Optimality of an $(s, S)$ Policy with Compound Poisson and Diffusion Demands: A Quasi-variational Inequalities Approach
• A Direct Solution Method for Stochastic Impulse Control Problems of One-dimensional Diffusions
• Explicit Solution of a Two-Dimensional Deterministic Inventory Problem
• Optimal Impulse Control of Portfolios
• Stochastic Cash Management with Fixed and Proportional Transaction Costs
• Existence of Optimal Simple Policies for Discounted-Cost Inventory and Cash Management in Continuous Time
• Optimal Index Tracking Under Transaction Costs and Impulse Control
• Optimal Impulse Control When Control Actions Have Random Consequences
• Impulse Control Method and Exchange Rate
• Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs
• A proof of the EOQ formula using quasi-variational inequalities
• Optimal Ordering Policy for Inventory Systems with Quantity-Dependent Setup Costs
• NON-ROBUSTNESS OF SOME IMPULSE CONTROL PROBLEMS WITH RESPECT TO INTERVENTION COSTS
• Financial Modelling with Jump Processes
• Optimization of the flow of dividends
• Inventory Management with Stochastic Lead Times
• CLASSICAL AND IMPULSE STOCHASTIC CONTROL FOR THE OPTIMIZATION OF THE DIVIDEND AND RISK POLICIES OF AN INSURANCE FIRM
• Applied stochastic control of jump diffusions

This page was built for publication: An approximation scheme for impulse control with random reaction periods