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Optimal stochastic intervention control with application to the exchange rate

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  • Mundaca, Gabriela
  • Oksendal, Bernt

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Mathematical Economics.

Volume (Year): 29 (1998)
Issue (Month): 2 (March)
Pages: 225-243

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Handle: RePEc:eee:mateco:v:29:y:1998:i:2:p:225-243

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Web page: http://www.elsevier.com/locate/jmateco

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References

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  1. E.O. Svensson, Lars, 1994. "Why exchange rate bands? : Monetary independence in spite of fixed exchange rates," Journal of Monetary Economics, Elsevier, vol. 33(1), pages 157-199, February.
  2. Svensson, L.E.O., 1990. "The Term Structure of Interest Rate Differentials in a Target Zone: Theory and Swedish Data," Papers 466, Stockholm - International Economic Studies.
  3. Kenneth A. Froot & Maurice Obstfeld, 1992. "Exchange Rate Dynamics Under Stochastic Regime Shifts: A Unified Approach," NBER Working Papers 2835, National Bureau of Economic Research, Inc.
  4. Monique Jeanblanc-Picqué, 1993. "Impulse Control Method and Exchange Rate," Mathematical Finance, Wiley Blackwell, vol. 3(2), pages 161-177.
  5. Miller, Marcus & Zhang, Lei, 1996. "Optimal target zones: How an exchange rate mechanism can improve upon discretion," Journal of Economic Dynamics and Control, Elsevier, vol. 20(9-10), pages 1641-1660.
  6. Paul R. Krugman, 1987. "Trigger Strategies and Price Dynamics in Equity and Foreign Exchange Markets," NBER Working Papers 2459, National Bureau of Economic Research, Inc.
  7. Lars E. O. Svensson, 1992. "An Interpretation of Recent Research on Exchange Rate Target Zones," Journal of Economic Perspectives, American Economic Association, vol. 6(4), pages 119-144, Fall.
  8. Paul R. Krugman, 1988. "Target Zones and Exchange Rate Dynamics," NBER Working Papers 2481, National Bureau of Economic Research, Inc.
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Cited by:
  1. Antonio Francisco A. Silva Jr., 2010. "Brazilian Strategy for Managing the Risk of Foreign Exchange Rate Exposure During a Crisis," Working Papers Series 207, Central Bank of Brazil, Research Department.
  2. Yiannis Kamarianakis & Anastasios Xepapadeas, 2006. "Stochastic impulse control with discounted and ergodic optimization criteria: A comparative study for the control of risky holdings," Working Papers 0709, University of Crete, Department of Economics.
  3. Christensen, Sören, 2014. "On the solution of general impulse control problems using superharmonic functions," Stochastic Processes and their Applications, Elsevier, vol. 124(1), pages 709-729.
  4. Baccarin, Stefano, 2009. "Optimal impulse control for a multidimensional cash management system with generalized cost functions," European Journal of Operational Research, Elsevier, vol. 196(1), pages 198-206, July.
  5. Cadenillas, Abel & Zapatero, Fernando, 1999. "Optimal Central Bank Intervention in the Foreign Exchange Market," Journal of Economic Theory, Elsevier, vol. 87(1), pages 218-242, July.
  6. Erhan Bayraktar & Masahiko Egami, 2007. "The Effects of Implementation Delay on Decision-Making Under Uncertainty," Papers math/0703833, arXiv.org.
  7. Pekka Matomäki, 2012. "On solvability of a two-sided singular control problem," Computational Statistics, Springer, vol. 76(3), pages 239-271, December.
  8. Seydel, Roland C., 2009. "Existence and uniqueness of viscosity solutions for QVI associated with impulse control of jump-diffusions," Stochastic Processes and their Applications, Elsevier, vol. 119(10), pages 3719-3748, October.

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