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Optimal stochastic intervention control with application to the exchange rate · Study

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ArticleOptimal stochastic intervention control with application to the exchange rate

Gabriela Mundaca1998

OA

Articlegreen1998

Optimal stochastic intervention control with application to the exchange rate

Gabriela Mundaca · Bernt Øksendal

105 citations·0/0 files stored·Journal of Mathematical Economics

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Stochastic processes and financial applications Monetary Policy and Economic Impact Global Financial Crisis and Policies

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References

1990Portfolio Selection with Transaction Costs 1991Target Zones and Exchange Rate Dynamics 1993Impulse Control Method and Exchange Rate 1992An Interpretation of Recent Research on Exchange Rate Target Zones 1994The Operation and Collapse of Fixed Exchange Rate Regimes 1989Exchange Rate Dynamics Under Stochastic Regime Shifts: A Unified Approach 1991Exchange-rate dynamics under stochastic regime shifts 1992Why Exchange Rate Bands? Monetary Independence in Spite of Fixed Exchange Rates

Cited by

2010Impulse Control of Multidimensional Jump Diffusions 2008Optimal impulse control for a multidimensional cash management system with generalized cost functions 2004A Class of Solvable Impulse Control Problems 2008On the Optimal Stochastic Impulse Control of Linear Diffusions 2013Brownian Inventory Models with Convex Holding Cost, Part 1: Average-Optimal Controls 2009Existence and uniqueness of viscosity solutions for QVI associated with impulse control of jump-diffusions

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2011EXCHANGE RATE TARGET ZONES: A SURVEY OF THE LITERATUREarticle · 7 shared references 1999Optimal Central Bank Intervention in the Foreign Exchange Marketarticle · 6 shared references 1992The foreign exchange risk premium in a target zone with devaluation riskarticle · 5 shared references 1996A reexamination of the uncovered interest rate parity hypothesisarticle · 5 shared references 1995Target zone models with stochastic realignments: an econometric evaluationarticle · 5 shared references 2006Target zones in theory and history: Credibility, efficiency, and policy autonomyarticle · 5 shared references

Details

Year1998

Typearticle

Published1998-03-01

VenueJournal of Mathematical Economics

ISSN-L0304-4068

Languageen

Citations105

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/s0304-4068(97)00013-x

openalex_workW2153188208

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2016Weakly Chained Matrices, Policy Iteration, and Impulse Control

2009Smooth Fit Principle for Impulse Control of Multidimensional Diffusion Processes