On Classical and Restricted Impulse Stochastic Control for the Exchange Rate
Author:
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,Control and Optimization
Link
http://link.springer.com/content/pdf/10.1007/s00245-015-9320-6.pdf
Reference10 articles.
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3. Jack, A., Zervos, M.: Impulse and absolutely continuous ergodic control of one-dimensional Itô diffusions. In: Kabanov, Y., Liptser, R., Stoyanov, J. (eds.) From Stochastic Analysis to Mathematical Finance, Festschrift for Albert Shiryaev, pp. 295–314. Springer, New York (2006)
4. Jeanblanc-Picqué, M.: Impulse control method and exchange rate. Math. Financ. 3, 161–177 (1993)
5. Korn, R.: Optimal impulse control when control actions have random consequences. Math. Oper. Res. 22, 639–667 (1997)
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