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Some applications of impulse control in mathematical finance

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Abstract.

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.

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Authors and Affiliations

  1. Fachbereich Mathematik, Universität Kaiserslautern, D-67653 Kaiserslautern, Germany (e-mail: korn@mathematik.uni-kl.de), , , , , , DE

    Ralf Korn

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  1. Ralf Korn
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Manuscript received: April 1999/final version received: August 1999

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Korn, R. Some applications of impulse control in mathematical finance. Mathematical Methods of OR 50, 493–518 (1999). https://doi.org/10.1007/s001860050083

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  • DOI: https://doi.org/10.1007/s001860050083

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