| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1142935 | Operations Research Letters | 2012 | 6 Pages |
Abstract
We model an impulse control problem when the controller’s action affects the state as well as the dynamics of the state process for a random amount of time. We apply our model to solve a central bank intervention problem in the foreign exchange market when the market observes and reacts to the bank’s interventions.
Related Topics
Physical Sciences and Engineering
Mathematics
Discrete Mathematics and Combinatorics
Authors
Alain Bensoussan, Hongwei Long, Sandun Perera, Suresh Sethi,