• Media type: E-Book; Report
  • Title: Some Applications of Impulse Control in Mathematical Finance
  • Contributor: Korn, Ralf [Author]
  • imprint: KLUEDO - Publication Server of University of Kaiserslautern-Landau (RPTU), 1999
  • Language: English
  • Keywords: portfolio optimisation ; exchange rate ; cash management ; Impulse control ; viscosity solutions
  • Origination:
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  • Description: We consider three applications of impulse control in financial mathematics, a cash management problem, optimal control of an exchange rate, and portfolio optimisation under transaction costs. We sketch the different ways of solving these problems with the help of quasi-variational inequalities. Further, some viscosity solution results are presented.
  • Access State: Open Access