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Some applications of impulse control in mathematical finance

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  • Ralf Korn

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. Copyright Springer-Verlag Berlin Heidelberg 1999

Suggested Citation

  • Ralf Korn, 1999. "Some applications of impulse control in mathematical finance," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 50(3), pages 493-518, December.
    • Handle: RePEc:spr:mathme:v:50:y:1999:i:3:p:493-518
    DOI: 10.1007/s001860050083
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