On classical and restricted impulse stochastic control for the exchange rate

DOI10.1007/s00245-015-9320-6zbMath1358.93187OpenAlexW2280987419MaRDI QIDQ517931

Giulio Bertola, Kazuhiro Yasuda, Wolfgang J. Runggaldier

Publication date: 28 March 2017

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-015-9320-6

zbMATH Keywords

quasi-variational inequalitiesimpulse controlverification theoremexchange rate controlregularity of value function

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Impulsive optimal control problems (49N25)

Related Items (12)

On the singular control of exchange rates ⋮ Mathematical and numerical analyses of a stochastic impulse control model with imperfect interventions ⋮ Classical and restricted impulse control for the exchange rate under a stochastic trend model ⋮ Nonzero-Sum Stochastic Games and Mean-Field Games with Impulse Controls ⋮ A zero-sum deterministic impulse controls game in infinite horizon with a new HJBI-QVI ⋮ Continuous and impulse controls differential game in finite horizon with Nash-equilibrium and application ⋮ Nonzero-Sum Stochastic Differential Games with Impulse Controls: A Verification Theorem with Applications ⋮ Nonzero-sum stochastic differential games between an impulse controller and a stopper ⋮ Stabilization of nonlinear time-delay systems: flexible delayed impulsive control ⋮ Nash equilibria in nonzero-sum differential games with impulse control ⋮ The value of a minimax problem involving impulse control ⋮ HJB and Fokker-Planck equations for river environmental management based on stochastic impulse control with discrete and random observation

Cites Work

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• Optimal stochastic intervention control with application to the exchange rate
• Optimal Central Bank intervention in the foreign exchange market
• A change-of-variable formula with local time on curves
• Classical and Impulse Stochastic Control of the Exchange Rate Using Interest Rates and Reserves
• Optimal Impulse Control When Control Actions Have Random Consequences
• Impulse Control Method and Exchange Rate
• Impulse and Absolutely Continuous Ergodic Control of One-Dimensional Itô Diffusions

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