A disutility-based drift control for exchange rates

DOI10.1080/02331934.2011.641016zbMath1303.91197OpenAlexW2048606650MaRDI QIDQ5413884

Rita L. D'Ecclesia, Roy Cerqueti, Rosella Castellano

Publication date: 2 May 2014

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://openresearch.lsbu.ac.uk/download/2a37126c72895bad545523ca8591547c78a1d09021b603fcb7ed45458b95e993/191054/Revision-Submitted.pdf

zbMATH Keywords

dynamic programmingviscosity solutionsexchange ratesstabilization policiesdrift control

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Cites Work

• Optimal target zones
• Optimal monetary policy in a regime-switching economy: The response to abrupt shifts in exchange rate dynamics
• Optimal stochastic intervention control with application to the exchange rate
• Convex viscosity solutions and state constraints
• User’s guide to viscosity solutions of second order partial differential equations
• A strong comparison result for the bellman equation arising in stochastic exit time control problems and its applications
• Impulse Control Method and Exchange Rate
• Long swings in exchange rates: a stochastic control approach

This page was built for publication: A disutility-based drift control for exchange rates