Current Search: Perera, Sandun C. (x)
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Title
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Stochastic optimal impulse control of jump diffusions with application to exchange rate.
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Creator
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Perera, Sandun C., Charles E. Schmidt College of Science, Department of Mathematical Sciences
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Abstract/Description
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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...
Show moreWe 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.
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Date Issued
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2009
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PURL
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http://purl.flvc.org/FAU/3174308
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Subject Headings
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Management, Mathematical models, Control theory, Stochastic differential equations, Distribution (Probability theory), Optimal stopping (Mathematical statistics), Economics, Mathematical
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Format
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Document (PDF)
