Optimal impulse control for cash management with quadratic holding-penalty costs

DOI10.1007/s102030200001zbMath1016.93071OpenAlexW2036635507MaRDI QIDQ1862733

Stefano Baccarin

Publication date: 24 July 2003

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s102030200001

zbMATH Keywords

infinite horizonoptimal impulse controlcash managementcontrol band policyquadratic holding-penalty costs

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80) Optimality conditions for problems involving randomness (49K45)

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