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A generalized impulse control model of cash management [An article from: Journal of Economic Dynamics and Control]
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Book Details
Author(s)
A. Bar-Ilan, D. Perry, W. Stadje
Publisher
Elsevier
ISBN / ASIN
B000RQYLBQ
ISBN-13
978B000RQYLB2
Marketplace
France 🇫🇷
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Description
This digital document is a journal article from Journal of Economic Dynamics and Control, published by Elsevier in 2004. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.
Description:
This paper presents a general model of cash management, viewed as an impulse control problem for a stochastic money flow process. Generalizing classical approaches, we represent this process by a superposition of a Brownian motion and a compound Poisson process, controlled by two-sided target-trigger policies. For phase-type distributions for the upward and downward jumps we determine all pertinent cost functionals explicitly. Moreover, the controlled process is studied in steady state. The closed-form results can be used to determine optimal values for the target and trigger values numerically.
Description:
This paper presents a general model of cash management, viewed as an impulse control problem for a stochastic money flow process. Generalizing classical approaches, we represent this process by a superposition of a Brownian motion and a compound Poisson process, controlled by two-sided target-trigger policies. For phase-type distributions for the upward and downward jumps we determine all pertinent cost functionals explicitly. Moreover, the controlled process is studied in steady state. The closed-form results can be used to determine optimal values for the target and trigger values numerically.
