Optimal impulse control for a multidimensional cash management system with generalized cost functions

DOI10.1016/j.ejor.2008.02.040zbMath1159.91384OpenAlexW2030941333MaRDI QIDQ2378465

Stefano Baccarin

Publication date: 8 January 2009

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2008.02.040

zbMATH Keywords

finite element methodquasi-variational inequalitiesfinanceimpulse controlcash management

Mathematics Subject Classification ID

Related Items (19)

A multi-objective approach to the cash management problem ⋮ On the use of multiple criteria distance indexes to find robust cash management policies ⋮ Optimal impulse control of a portfolio with a fixed transaction cost ⋮ Model predictive control of cash balance in a cash concentration and disbursements system ⋮ Analysis and constrained optimal impulsive control of a Holling-II type trophic system with two sources ⋮ Management of online server congestion using optimal demand throttling ⋮ A probabilistic approach to the stochastic fluid cash management balance problem ⋮ Analysis and computation of probability density functions for a 1-D impulsively controlled diffusion process ⋮ Selecting the best risk measure in multiobjective cash management ⋮ \(L^{\infty}\) error estimate for the noncoercive impulse control QVI: a new approach ⋮ Fitting random cash management models to data ⋮ The future of branch cash holdings management is here: new Markov chains ⋮ Demand for cash with intra-period endogenous consumption ⋮ Stochastic impulse control with regime-switching dynamics ⋮ On the Finite Element Approximation of the Impulse Control Quasivariational Inequality ⋮ Competitive difference analysis of the cash management problem with uncertain demands ⋮ Unnamed Item ⋮ A stochastic goal programming model to derive stable cash management policies ⋮ Optimal cash management problem for compound Poisson processes with two-sided jumps

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