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

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References

1983Impulse Control of Brownian Motion234 cited
1978Existence of Optimal Simple Policies for Discounted-Cost Inventory and Cash Management in Continuous Time186 cited
1969Cash Balance and Simple Dynamic Portfolio Problems with Proportional Costs159 cited
1978Optimal control of a Brownian storage system115 cited
1970The Stochastic Cash Balance Problem with Fixed Costs for Increases and Decreases104 cited
1986A Solvable One-Dimensional Model of a Diffusion Inventory System96 cited
1997Optimal Impulse Control When Control Actions Have Random Consequences58 cited
1977Optimal Impulse Control of a Diffusion Process with Both Fixed and Proportional Costs of Control52 cited
1998Optimal Index Tracking Under Transaction Costs and Impulse Control43 cited

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2010A Computational Method for Stochastic Impulse Control Problems31 cited

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