Optimal Impulse Control for Cash Management with Double Exponential Jump Diffusion Processes
Optimal Impulse Control for Cash Management with Double Exponential Jump Diffusion Processes
We consider a cash management problem where the cash demand is assumed to be double exponential jump-diffusion processes. We formulate a model minimizing the sum of the transaction and holding-penalty costs as an impulse control model. The model reduces to the problem of solving a Quasi-variational Inequality (QVI), and the …