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Impulse Control of Multidimensional Jump Diffusions in Finite Time Horizon
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References

  • 2005Controlled Markov Processes and Viscosity Solutions2,698 cited
  • 1981Les Aspects Probabilistes Du Controle Stochastique448 cited
  • 1994Interactions of Corporate Financing and Investment Decisions: A Dynamic Framework366 cited
  • 1995Optimization of the flow of dividends320 cited
  • 1990Valuing Flexibility as a Complex Option287 cited
  • 1993Impulse Control Method and Exchange Rate270 cited
  • 1995OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS219 cited
  • 2011Weak Dynamic Programming Principle for Viscosity Solutions190 cited
  • 2002Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs185 cited
  • 1999Optimal Central Bank Intervention in the Foreign Exchange Market167 cited
  • 1998Portfolio optimisation with strictly positive transaction costs and impulse control161 cited
  • 2006CLASSICAL AND IMPULSE STOCHASTIC CONTROL FOR THE OPTIMIZATION OF THE DIVIDEND AND RISK POLICIES OF AN INSURANCE FIRM141 cited
  • 1999Some applications of impulse control in mathematical finance132 cited
  • 1988Optimal Impulse Control of Portfolios132 cited
  • 2006A model of optimal portfolio selection under liquidity risk and price impact

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130 cited
  • 1993Finite horizon stochastic optimal switching and impulse controls with a viscosity solution approach117 cited
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