Optimal exchange rates management using stochastic impulse control for geometric Levy processes

Wu, JB

Wu, JB (reprint author), Cent S Univ, Sch Math & Stat, Changsha 410083, Hunan, Peoples R China.

MATHEMATICAL METHODS OF OPERATIONS RESEARCH, 2019; 89 (2): 257

Abstract

In this paper, we consider the optimal impulse control problem of a currency with exchange rate dynamics whose state follows a geometric Levy process.......

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