Some applications of impulse control in mathematical finance
This is a survey paper on the use of impulse control methods and quasi-variational inequalities in the context of problems from financial mathematics. It presents the basic ideas and results and discusses three applications: a cash management problem, the optimal control of an exchange rate, and portfolio optimization under transaction costs with a fixed cost component. The relation to viscosity solutions is also explored.
scientific article; zbMATH DE number 1439917