Impulse control with random reaction periods: A central bank intervention problem

We model an impulse control problem when the controller’s action affects the state as well as the dynamics of the state process for a random amount of time. We apply our model to solve a central bank intervention problem in the foreign exchange market when the market observes and reacts to the bank’...

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Veröffentlicht in:	Operations research letters 2012-11, Vol.40 (6), p.425-430
Hauptverfasser:	Bensoussan, Alain, Long, Hongwei, Perera, Sandun, Sethi, Suresh
Format:	Artikel
Sprache:	eng
Schlagworte:	Applied sciences Banks Calculus of variations and optimal control Central bank interventions Dynamics Exact sciences and technology Impulse control Impulses Market reactions Markets Mathematical analysis Mathematics Operational research and scientific management Operational research. Management science Operations research Portfolio theory Sciences and techniques of general use Variational inequality
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Beschreibung
Zusammenfassung:	We model an impulse control problem when the controller’s action affects the state as well as the dynamics of the state process for a random amount of time. We apply our model to solve a central bank intervention problem in the foreign exchange market when the market observes and reacts to the bank’s interventions.
ISSN:	0167-6377 1872-7468
DOI:	10.1016/j.orl.2012.06.012