You are here

FAU Collections » FAU Research Repository » FAU Theses and Dissertations

Stochastic optimal impulse control of jump diffusions with application to exchange rate

Download pdf | Full Screen View

Date Issued:
2009
Summary:
We generalize the theory of stochastic impulse control of jump diffusions introduced by Oksendal and Sulem (2004) with milder assumptions. In particular, we assume that the original process is affected by the interventions. We also generalize the optimal central bank intervention problem including market reaction introduced by Moreno (2007), allowing the exchange rate dynamic to follow a jump diffusion process. We furthermore generalize the approximation theory of stochastic impulse control problems by a sequence of iterated optimal stopping problems which is also introduced in Oksendal and Sulem (2004). We develop new results which allow us to reduce a given impulse control problem to a sequence of iterated optimal stopping problems even though the original process is affected by interventions.
Title: Stochastic optimal impulse control of jump diffusions with application to exchange rate.
170 views
64 downloads
Name(s): Perera, Sandun C.
Charles E. Schmidt College of Science
Department of Mathematical Sciences
Type of Resource: text
Genre: Electronic Thesis Or Dissertation
Date Issued: 2009
Publisher: Florida Atlantic University
Physical Form: electronic
Extent: xi, 139 p. : ill.
Language(s): English
Summary: We generalize the theory of stochastic impulse control of jump diffusions introduced by Oksendal and Sulem (2004) with milder assumptions. In particular, we assume that the original process is affected by the interventions. We also generalize the optimal central bank intervention problem including market reaction introduced by Moreno (2007), allowing the exchange rate dynamic to follow a jump diffusion process. We furthermore generalize the approximation theory of stochastic impulse control problems by a sequence of iterated optimal stopping problems which is also introduced in Oksendal and Sulem (2004). We develop new results which allow us to reduce a given impulse control problem to a sequence of iterated optimal stopping problems even though the original process is affected by interventions.
Identifier: 748371627 (oclc), 3174308 (digitool), FADT3174308 (IID), fau:3676 (fedora)
Note(s): by Sandun C. Perera.
Thesis (Ph.D.)--Florida Atlantic University, 2009.
Includes bibliography.
Electronic reproduction. Boca Raton, Fla., 2009. Mode of access: World Wide Web.
Subject(s): Management -- Mathematical models
Control theory
Stochastic differential equations
Distribution (Probability theory)
Optimal stopping (Mathematical statistics)
Economics, Mathematical
Persistent Link to This Record: http://purl.flvc.org/FAU/3174308
Use and Reproduction: http://rightsstatements.org/vocab/InC/1.0/
Host Institution: FAU