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Stochastic optimal impulse control of jump diffusions with application to exchange rate
 Date Issued:
 2009
 Summary:
 We generalize the theory of stochastic impulse control of jump diffusions introduced by Oksendal and Sulem (2004) with milder assumptions. In particular, we assume that the original process is affected by the interventions. We also generalize the optimal central bank intervention problem including market reaction introduced by Moreno (2007), allowing the exchange rate dynamic to follow a jump diffusion process. We furthermore generalize the approximation theory of stochastic impulse control problems by a sequence of iterated optimal stopping problems which is also introduced in Oksendal and Sulem (2004). We develop new results which allow us to reduce a given impulse control problem to a sequence of iterated optimal stopping problems even though the original process is affected by interventions.
Title:  Stochastic optimal impulse control of jump diffusions with application to exchange rate. 
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Name(s): 
Perera, Sandun C. Charles E. Schmidt College of Science Department of Mathematical Sciences 

Type of Resource:  text  
Genre:  Electronic Thesis Or Dissertation  
Date Issued:  2009  
Publisher:  Florida Atlantic University  
Physical Form:  electronic  
Extent:  xi, 139 p. : ill.  
Language(s):  English  
Summary:  We generalize the theory of stochastic impulse control of jump diffusions introduced by Oksendal and Sulem (2004) with milder assumptions. In particular, we assume that the original process is affected by the interventions. We also generalize the optimal central bank intervention problem including market reaction introduced by Moreno (2007), allowing the exchange rate dynamic to follow a jump diffusion process. We furthermore generalize the approximation theory of stochastic impulse control problems by a sequence of iterated optimal stopping problems which is also introduced in Oksendal and Sulem (2004). We develop new results which allow us to reduce a given impulse control problem to a sequence of iterated optimal stopping problems even though the original process is affected by interventions.  
Identifier:  748371627 (oclc), 3174308 (digitool), FADT3174308 (IID), fau:3676 (fedora)  
Note(s): 
by Sandun C. Perera. Thesis (Ph.D.)Florida Atlantic University, 2009. Includes bibliography. Electronic reproduction. Boca Raton, Fla., 2009. Mode of access: World Wide Web. 

Subject(s): 
Management  Mathematical models Control theory Stochastic differential equations Distribution (Probability theory) Optimal stopping (Mathematical statistics) Economics, Mathematical 

Persistent Link to This Record:  http://purl.flvc.org/FAU/3174308  
Use and Reproduction:  http://rightsstatements.org/vocab/InC/1.0/  
Host Institution:  FAU 