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An approximation scheme for impulse control with random reaction periods

Perera, Sandun; Long, Hongwei - In: Operations research letters 45 (2017) 6, pp. 585-591

Persistent link: https://www.econbiz.de/10011782985

On the existence and uniqueness of the optimal central bank intervention policy in a forex market with jumps

Perera, Sandun; Buckley, Winston - In: Journal of the Operational Research Society : OR 68 (2017) 8, pp. 877-885

Persistent link: https://www.econbiz.de/10011794501

Market-reaction-adjusted optimal central bank intervention policy in a forex market with jumps

Perera, Sandun; Buckley, Winston; Long, Hongwei - In: Risk management approaches in engineering applications, (pp. 213-238). 2018

Persistent link: https://www.econbiz.de/10011870013

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

Bensoussan, Alain; Long, Hongwei; Perera, Sandun; … - In: Operations research letters 40 (2012) 6, pp. 425-430

Persistent link: https://www.econbiz.de/10009716585

Impulse Control with Random Reaction Periods : A Central Bank Intervention Problem

Bensoussan, Alain - 2014

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...

Persistent link: https://www.econbiz.de/10013066212