Impulse Control Method and Exchange Rate

We control a diffusion process with constant coefficients in order to keep this process in a given band with impulse control methods. We prove that there exists an optimal control if the cost associated with each control is a fixed cost plus a proportional cost. We study the problem of the exchange rate and prove that it is possible to keep the exchange rate in a target zone with discrete interventions. Copyright 1993 Blackwell Publishers.

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Year of publication:	1993
Authors:	Jeanblanc-Picqué, Monique
Published in:	Mathematical Finance. - Wiley Blackwell, ISSN 0960-1627. - Vol. 3.1993, 2, p. 161-177
Publisher:	Wiley Blackwell

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008521919