Classical and Impulse Stochastic Control of the Exchange Rate Using Interest Rates and Reserves
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References listed on IDEAS
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- Ibtissam Hdhiri & Monia Karouf, 2011. "Risk sensitive impulse control of non-Markovian processes," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), pages 1-20.
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- Jiatu Cai & Mathieu Rosenbaum & Peter Tankov, 2015. "Asymptotic Lower Bounds for Optimal Tracking: a Linear Programming Approach," Papers 1510.04295, arXiv.org.
- Giorgio Ferrari & Tiziano Vargiolu, 2017. "On the Singular Control of Exchange Rates," Papers 1712.02164, arXiv.org.
- Shangzhen Luo & Michael Taksar, 2011. "Minimal Cost of a Brownian Risk without Ruin," Papers 1112.4005, arXiv.org.
- Dmitry B. Rokhlin & Georgii Mironenko, 2016. "Regular finite fuel stochastic control problems with exit time," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), pages 105-127.
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