Some applications of impulse control in mathematical finance
type: Item
instance of: scholarly article
title: Some applications of impulse control in mathematical finance
zbMATH Open document ID: 0942.91048
author: Ralf Korn
published in: Mathematical Methods of Operations Research
publication date: 2000-05-07T00:00:00Z
review text: 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.
reviewed by: Martin Schweizer
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 91-02
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 49N90
Mathematics Subject Classification ID: 91G10
zbMATH DE Number: 1439917
zbMATH Keywords: impulse control
zbMATH Keywords: mathematical finance
zbMATH Keywords: portfolio optimization
zbMATH Keywords: exchange rate
zbMATH Keywords: cash management
zbMATH Keywords: quasi-variational inequalities
zbMATH Keywords: viscosity solutions
zbMATH Keywords: survey
MaRDI profile type: Publication
full work available at URL: s001860050083
OpenAlex ID: W1965150957
DOI: 10.1007/S001860050083
description: scientific article; zbMATH DE number 1439917