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Optimal impulse control for cash management¶with quadratic holding-penalty costs · Study

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ArticleOptimal impulse control for cash management¶with quadratic holding-penalty costs

Stefano Baccarin2002

Article2002

Optimal impulse control for cash management¶with quadratic holding-penalty costs

Stefano Baccarin

37 citations·0/0 files stored·Decisions in Economics and Finance

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Stochastic processes and financial applications Supply Chain and Inventory Management Risk and Portfolio Optimization

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References

1983Impulse Control of Brownian Motion 1978Existence of Optimal Simple Policies for Discounted-Cost Inventory and Cash Management in Continuous Time 1969Cash Balance and Simple Dynamic Portfolio Problems with Proportional Costs 1978Optimal control of a Brownian storage system 1970The Stochastic Cash Balance Problem with Fixed Costs for Increases and Decreases 1986A Solvable One-Dimensional Model of a Diffusion Inventory System 1997Optimal Impulse Control When Control Actions Have Random Consequences 1977Optimal Impulse Control of a Diffusion Process with Both Fixed and Proportional Costs of Control

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2010A Computational Method for Stochastic Impulse Control Problems

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Year2002

Typearticle

Published2002-05-01

VenueDecisions in Economics and Finance

ISSN-L1127-1035

Languageen

Citations37

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s102030200001

openalex_workW2036635507

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